Efficient Market Hypothesis, Covid-19 and Accumulated Return of Common Shares – Event Study of The Top Chinese Financial Institutions by Market Value Criterion

José Odálio dos Santos; André Nardy; Alexandre Luzzi Las Casas; Theresangela Giongo Flores Araes

doi:10.23925/2178-0080.2023v25i1.90762

Autores

José Odálio dos Santos Pontifícia Universidade Católica de São Paulo https://orcid.org/0000-0001-6428-723X
André Nardy Saint Paul Escola de Negócios
Alexandre Luzzi Las Casas Pontifícia Universidade Católica de São Paulo - PUC-SP https://orcid.org/0000-0003-2098-0969
Theresangela Giongo Flores Araes Pontifícia Universidade Católica de São Paulo - PUC-SP

DOI:

https://doi.org/10.23925/2178-0080.2023v25i1.90762

Palavras-chave:

estudo de evento, Covid-19, retorno, mercado eficiente

Resumo

Este trabalho analisou, através da metodologia de estudo de eventos, o impacto da divulgação de dois decretos relevantes em 2020 (1. quarentena na cidade de Wuhan, China, em 22 de janeiro; 2. pandemia de Covid-19 pela OMS em 11 de março) no retorno acumulado das ações ordinárias dos quatro maiores bancos chineses pelo critério do valor de mercado. O evento 1 apresentou valores de p-values superiores a 0,05 na janela de estimativa, não demonstrando impacto estatisticamente significativo no comportamento do retorno acumulado anormal das ações ordinárias selecionadas, caracterizando ineficiência informacional. Para o evento 2, o oposto foi observado nos dias próximos à divulgação (p-values inferiores a 0,05), de acordo com o comportamento esperado de ajuste de preços em mercados eficientes.

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Biografia do Autor

José Odálio dos Santos, Pontifícia Universidade Católica de São Paulo

Professor Titular do Departamento de Administração

Área: Finanças

André Nardy, Saint Paul Escola de Negócios

Prof. Dr. da Saint Paul Escola de Negócios; Prof. Dr. da Fundação Instituto de Administração; Coordenador de cursos e projetos da Saint Paul Escola de Negócios

Alexandre Luzzi Las Casas, Pontifícia Universidade Católica de São Paulo - PUC-SP

Prof. Dr. Titular de disciplinas de marketing da graduação e pós-graduação da PUC-SP

Theresangela Giongo Flores Araes, Pontifícia Universidade Católica de São Paulo - PUC-SP

Mestre em Administração (Finanças) pela Pontifícia Universidade Católica de São Paulo - PUC-SP

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