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Market Efficiency in Brazil: some evidence from high-frequency data

Author

Listed:
  • Alexandre de Carvalho
  • Alberto Sanyuan Suen
  • Felippe Gallo

Abstract

In this paper we used intraday data to assess market efficiency in Brazil. We used a database of prices and the number of shares traded of liquid stocks listed in Brazil’s stock exchange, BM&FBOVESPA, and disclosures of material facts legally imposed by the Comissão de Valores Mobiliários (CVM), the Brazilian authority for the regulation of security markets. Our findings indicate material facts reported by firms indeed reveal unexpected information to investors. The speed of price response to new information and the observed magnitudes of cumulative returns indicate market participants can benefit from profit opportunities in the minutes close to the release of material facts. Our findings suggest stock prices take up to fifty minutes to incorporate the new information.

Suggested Citation

  • Alexandre de Carvalho & Alberto Sanyuan Suen & Felippe Gallo, 2016. "Market Efficiency in Brazil: some evidence from high-frequency data," Working Papers Series 431, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:431
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps431.pdf
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    References listed on IDEAS

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