Main Article Content

Júlio Lobão
School of Economics and Management - University of Porto
Ana Costa
Universidade do Porto - Faculdade de Economia
Vol 31 No 3 (2022), Articles, pages 1-17
Submitted: 18-04-2022 Accepted: 30-08-2022 Published: 21-11-2022
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In this paper, for the first time, we study the calendar anomaly called “the week-of-the-year effect” in the Portuguese stock market. The week-of-the year effect was originally identified by Levy and Yagil (2012) and refers to the occurrence of significantly different market returns during certain weeks of the year. The sample used was built from a new historical database covering about 120 years of the Portuguese stock market. It was found that the first and last weeks of the year generated significantly higher returns than the other weeks of the year. Furthermore, a subsample analysis reveals that the week-of-the year effect has evolved over time. In general, our results suggest that the Adaptive Markets Hypothesis provides a better explanation for the dynamics of the Portuguese stock market.