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As Ações Portuguesas Seguem um Random Walk? Implicações para a Eficiência de Mercado e para a Definição de Estratégias de Transação

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Author Info

  • Ana Rita Gonzaga

    (Master in Economics, Faculty of Economics University of Coimbra)

  • Helder Sebastião

    (Faculty of Economics University of Coimbra and GEMF)

Abstract

No presente trabalho são testadas as hipóteses de random walk e de eficiência informacional aplicadas ao mercado acionista português, considerando dezasseis ações e o índice PSI-20, durante o período de 1987-2010.Os vários testes de random walk obtiveram resultados mistos, todavia a não rejeição desta hipótese para a maioria das ações e para o índice PSI-20 nos últimos três anos da amostra (2008-2010) parece indicar a existência de uma tendência no sentido duma maior maturidade e eficiência informacional do mercado português. A aplicação de várias estratégias de transação baseadas em médias móveis, channel rules e filter rules, apesar de apresentarem uma elevada sensibilidade aos parâmetros, permitiram, de uma maneira geral, a obtenção de rentabilidades substancialmente superiores à estratégia simples buy-and-hold, mesmo após a consideração de custos de transação tanto para os investidores institucionais como para os investidores “fora-de-bolsa”. Estes resultados positivos são sobretudo relevantes para as ações da Martifer, Sonae, Sonae Indústria e Zon, precisamente aquelas onde foi rejeitada de forma categórica a hipótese de random walk. Em suma, apesar da crescente eficiência informacional, ao que muito provavelmente não está alheio a redução dos custos de transação, a maior maturidade dos investidores nacionais e a maior exposição internacional, o que decerto para muito contribuiu a integração na EURONEXT, ainda parece subsistir algum espaço para a exploração de estratégias de transação baseadas na análise técnica, sobretudo perante contextos de depressão de mercado.

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Bibliographic Info

Paper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2012-02.

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Length: 41 pages
Date of creation: Nov 2011
Date of revision:
Handle: RePEc:gmf:wpaper:2012-02

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Related research

Keywords: Random Walk; Eficiência Informacional; Análise Técnica; Médias Móveis; Channel Rules; Filter Rules; Euronext Lisboa.;

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References

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  1. Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
  2. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-82, May.
  3. Graham Smith & Hyun-Jung Ryoo, 2003. "Variance ratio tests of the random walk hypothesis for European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 290-300.
  4. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
  5. Amélie Charles & Olivier Darné, 2009. "Variance-Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, 07.
  6. Maria Rosa Borges, 2010. "Efficient market hypothesis in European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 16(7), pages 711-726.
  7. Maria Rosa Borges, 2007. "Random Walk Tests for the Lisbon Stock Market," Working Papers Department of Economics 2007/14, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  8. Graham Smith, 2009. "Martingales in European emerging stock markets: Size, liquidity and market quality," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 249-262.
  9. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  10. Nelson Manuel Areal & Manuel Jose Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 93-122.
  11. José Carlos Dias & Luís Lopes & Vitor Martins & José Manuel Benzinho, 2004. "Efficiency tests in the Iberian stock markets," Finance 0406001, EconWPA.
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