Informational inefficiency of the Brazilian stockmarket
AbstractEmploying both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian stockmarket is efficient in processing new information about public macroeconomic data (semi-strong efficiency). We find the stockmarket to be inefficient, which is in line with most results for other emerging markets.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1980.
Date of creation: 2006
Date of revision:
stockmarket semi-strong informational efficiency; cointegration; Granger causality; macroeconomic variables; Brazilian economy;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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