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The Brazilian stock market of the new millennium: an efficiency test


Author Info

  • Luiz Eduardo Gaio

    (University of São Paulo)

  • Karina Lumena de Freitas Alves

    (University of São Paulo)

  • Tabajara Pimenta Júnior

    (University of São Paulo)

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    According to the Hypothesis of Efficient Market - HME, proposed by Fama (1970), in its weak form, an investor doesn’t get to predict the stock returns based on historical returns and thus doesn’t get abnormal returns in a consistent way. This paper is concerned verifying HME, in the weak form, in the Brazilian stock market by the analysis of fifty more negotiated stocks in BOVESPA since 2000 until 2007. The methodology was used based in the ARIMA models of time series and serial correlation tests of returns to prove or not the random behavior of the stock returns. The results had shown that Brazilian capital market did not evidence characteristics of an efficient market, in the weak form, in the considered period.

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    Bibliographic Info

    Article provided by Fucape Business School in its journal Brazilian Business Review.

    Volume (Year): 6 (2009)
    Issue (Month): 3 (September)
    Pages: 217-231

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    Handle: RePEc:bbz:fcpbbr:v:6:y:2009:i:3:p:217-231

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    Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
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    Related research

    Keywords: Market efficiency; capital markets; random walk; abnormal returns.;


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