Day of the week effect and stock returns: evidence from ibovespa

Thiago Soares, Luiz Henrique Herling, Marcus Venícius Lima, Gilberto Moritz

Resumo


Day of the week effect study is focused as astock market anomaly on the equity market practices in Brazil. Themodus-operandi applicable in this research consists of daily stock pricesconcerned to Ibovespa Index, for the period January 1994 to December 2011. Theworking week for trade matters consist of five days. Study concludes that Friday returns are quite significant and positive.Hence it is inferred that there exists day effect in brazilian stock market.The returns of Friday on an average are greater in comparison to rest of thedays.

Referências


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