O efeito semana do ano e a Hipótese dos Mercados Adaptativos: Evidências a partir de uma nova base de dados

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Publicado: 21-11-2022

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Júlio Lobão
School of Economics and Management - University of Porto
Portugal
https://orcid.org/0000-0001-5896-9648
Ana Costa
Universidade do Porto - Faculdade de Economia
Portugal
https://orcid.org/0000-0002-9827-1954
Vol. 31 Núm. 3 (2022), Artículos, Páginas 1-17
DOI: https://doi.org/10.15304/rge.31.3.8411
Recibido: 18-04-2022 Aceptado: 30-08-2022 Publicado: 21-11-2022
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Resumen

Neste artigo estudamos pela primeira vez a anomalia de calendário designada de efeito semana do ano no mercado de acções português. O efeito semana do ano foi identificado originalmente por Levy e Yagil (2012) e refere-se à verificação de rendibilidades de mercado significativamente diferentes em algumas semanas do ano. A amostra utilizada foi construída a partir de uma nova base de dados histórica que cobre cerca de 120 anos de história do mercado accionista português. Verificou-se que a primeira e a última semanas do ano geraram rendibilidades significativamente mais elevadas do que as restantes semanas do ano. Além disso, a análise de subamostras revelou que o efeito semana do ano evoluiu de forma adaptativa ao longo do tempo. Em geral, os nossos resultados sugerem que a Hipótese dos Mercados Adaptativos proporciona uma melhor explicação para a dinâmica do mercado de acções português.

Palabras clave:

Efeito semana do ano, Anomalias de calendário, Hipótese dos Mercados Adaptativos, Eficiência de mercado, Portugal
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