Efficient Market Hypothesis, Covid-19 and Accumulated Return of Common Shares – Event Study of The Top Chinese Financial Institutions by Market Value Criterion
DOI:
https://doi.org/10.23925/2178-0080.2023v25i1.90762Palavras-chave:
estudo de evento, Covid-19, retorno, mercado eficienteResumo
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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