A hipótese da eficiência de mercado e um estudo de eventos a partir da data de vencimento de opções

Abstract

The purpose of this monograph was to test the hypothesis of market efficiency, based on a study of events, with the option expiration day being chosen. The Market Efficiency Hypothesis (MEH) says that there are three types of efficient markets, which at its base, should be able to incorporate the information available instantly. In order to evaluate the brazilian market, the option maturity event, which took place on january 20, 2020, was chosen and using the event study methodology, the normal and abnormal returns of the five companies with the highest liquidity were calculated. Stock exchange (itaú, vale, petrobras, bradesco and b3). In this context, with the student's t-test, it was verified which days of the event and post-event window, the abnormal returns were statistically relevant, reaching the result that between the days T-3, T-1, T + 1, T + 5 and T + 7 the abnormal returns were relevant. This outcome does not support the hypothesis of an efficient market.