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Abstract(s)
O efeito do mês de janeiro é uma das anomalias de mercado mais conhecidas e analisadas em todo o mundo, desde a sua introdução que tem sido objeto de estudo em diversos artigos académicos e revistas económico-financeiras. Embora a extensa evidência empírica explorada em diversos índices internacionais, a literatura sobre a anomalia no mercado financeiro português, Portuguese Stock Index (PSI), é quase inexistente. Neste sentido, a presente dissertação contribui para colmatar esta lacuna ao investigar a presença do efeito do
mês de janeiro no mercado financeiro português, com base nos preços de abertura e fecho de mercado apresentados no Yahoo! Finance, considerando o período entre 13 de maio de 2013 e 2 de fevereiro de 2024.
Os resultados obtidos revelaram insignificância estatística para as estimativas dos coeficientes das variáveis dummy, representativas dos meses do ano, ao contrário do coeficiente associado ao modelo autorregressivo, que se demonstrou relevante. Com isto, foi possível concluir a eficiência e racionalidade do mercado financeiro português, uma vez que as rendibilidades calculadas não foram influenciadas pelo mês de janeiro.
The January effect is one of the most renowned and analysed market anomalies in the world. Since its introduction, it has been the subject of study in several academic articles and financial journals. Despite the extensive empirical evidence explored in various international indices, the literature on the anomaly in the Portuguese Stock Index (PSI) is practically non existent. Therefore, this dissertation contributes to overcome this demand by investigating the presence of the January effect in PSI, based on the opening and closing prices from Yahoo! Finance, considering the period between May 13th of 2013 and February 2nd of 2024. The results revealed statistical insignificance for the coefficients’ estimates of the dummy variables representing the months of the year, with the exception of the coefficient associated with the autoregressive model, which has proved to be relevant. As a result, it was possible to conclude the efficiency and rationality of the Portuguese Stock Index, since the returns calculated were not influenced by the month of January.
The January effect is one of the most renowned and analysed market anomalies in the world. Since its introduction, it has been the subject of study in several academic articles and financial journals. Despite the extensive empirical evidence explored in various international indices, the literature on the anomaly in the Portuguese Stock Index (PSI) is practically non existent. Therefore, this dissertation contributes to overcome this demand by investigating the presence of the January effect in PSI, based on the opening and closing prices from Yahoo! Finance, considering the period between May 13th of 2013 and February 2nd of 2024. The results revealed statistical insignificance for the coefficients’ estimates of the dummy variables representing the months of the year, with the exception of the coefficient associated with the autoregressive model, which has proved to be relevant. As a result, it was possible to conclude the efficiency and rationality of the Portuguese Stock Index, since the returns calculated were not influenced by the month of January.
Description
Mestrado em Análise Financeira
Keywords
Anomalias de calendário Efeito do mês de janeiro Finanças comportamentais Mercado financeiro português Behavioural finance Calendar anomalies January effect Portuguese stock index
Citation
Costa, I. M. A. (2024) O efeito do mês de janeiro no mercado financeiro português. [Dissertação de mestrado, Instituto Superior de Contabilidade e Administração de Lisboa]. Repositório Científico do Instituto Politécnico de Lisboa.