Cartão vermelho para a racionalidade : viés comportamental no mercado financeiro

Abstract

This study investigates the relationship between FIFA (International Federation of Association Football) World Cup editions and the occurrence of calendar anomalies in the Brazilian financial market. The objective is to understand how major sporting events impact returns, trading volume, and volatility of assets traded on B3, in light of behavioral finance literature. To achieve the proposed objectives, Ordinary Least Squares (OLS) regression models are estimated, with the inclusion of autoregressive terms when appropriate, as well as GARCH(1,1) models with t-Student distribution for modeling conditional volatility. The empirical basis consists of daily data from the Brazilian stock market, totaling 7,672 observations, covering eight editions of the World Cup (1994, 1998, 2002, 2006, 2010, 2014, 2018, and 2022). The analysis considers both the aggregate behavior of the market and sectoral segments, seeking to identify the existence of seasonal patterns associated with the period of the World Cup, the actual days of games, the Brazilian national team's games, and, complementarily, the official announcements of the host country of the tournament. The results indicate that the effects associated with the World Cup do not manifest themselves systematically in average returns, but are relevant in trading volume and, above all, in the dynamics of conditional volatility, with more pronounced evidence on the days when the Brazilian team played. These findings suggest that behavioral factors, such as limited attention and changes in risk perception, play a relevant role in the transmission of non-economic shocks to the Brazilian financial market, especially in a context marked by strong cultural identification with soccer.