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The week-of-the-year effect and the Adaptive Markets Hypothesis: Evidence from a new database

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  • Lobão, Júlio
  • Costa, Ana

Abstract

In this paper, for the first time, we study the calendar anomaly called “the week-of-the-year effect” in the Portuguese stock market. The week-of-the year effect was originally identified by Levy and Yagil (2012) and refers to the occurrence of significantly different market returns during certain weeks of the year. The sample used was built from a new historical database covering about 120 years of the Portuguese stock market. It was found that the first and last weeks of the year generated significantly higher returns than the other weeks of the year. Furthermore, a subsample analysis reveals that the week-of-the year effect has evolved over time. In general, our results suggest that the Adaptive Markets Hypothesis provides a better explanation for the dynamics of the Portuguese stock market.

Suggested Citation

  • Lobão, Júlio & Costa, Ana, 2022. "The week-of-the-year effect and the Adaptive Markets Hypothesis: Evidence from a new database," Revista Galega de Economía, University of Santiago de Compostela. Faculty of Economics and Business., vol. 31(3), pages 1-17.
    • Handle: RePEc:sdo:regaec:v:31:y:2022:i:3_1
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    More about this item

    Keywords

    Week-of-the-year effect; Calendar anomalies; Adaptive Markets Hypothesis; Market efficiency; Portugal;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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