文章基本信息

标题：PESSIMISM ON MONDAYS: AN ANALYSIS OF THE DAY OF THE WEEK EFFECT IN BRAZILIAN CAPITAL MARKET DURING PERIODS OF CRISIS AND STABILITY
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作者：Verônica de Fátima Santana ; Leandro Manzoli Trovati
期刊名称：Revista de Gestão, Finanças e Contabilidade
印刷版ISSN：2238-5320
出版年度：2014
卷号：4
期号：3
页码：38-53
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出版社：University of State of Bahia
摘要：Whereas the irrationality of capital market agents is accentuated during financial crises, this paper aimed to verify the existence of the Monday Effect during periods of crisis and stability in Brazil through an analysis of the Bovespa Index. In order to do so, the behavior of the index was modeled using time series statistical techniques (autoregressive and conditional heteroscedastic models) comprising the period from January 2003 until April 2012, grouping the data in different series, in order to identify crisis periods. It was identified an average return statistically lower on Mondays only for the periods when Subprime crisis and Euro Crisis took place, suggesting that financial crises are favorable for the existence of the Day of the Week Effect for Mondays. This effect is likely due to the irrationality of the capital market agents which is pronounced in crisis environments, where the feeling of fear is stronger than the analytical foundations for financial assets pricing.