Seasonal Effects on the Bovespa Index
The purpose of this paper is to investigate three anomalies in the São Paulo Stock Exchange (BOVESPA) index: the day-of-the-week effect, the twist on the Monday effect and the holiday effect. The period from Jan/1995 to Dec/2007 is analyzed, with subperiods established according to presidential terms. The paper addresses the theories on market efficiency and on the seasonal effects analyzed. Statistics indicate that the anomalies were not consistently present during the periods studied.