Advanced Search
MyIDEAS: Login to save this paper or follow this series

Informational inefficiency of the Brazilian stockmarket

Contents:

Author Info

  • Guttler, Caio
  • Meurer, Roberto
  • Da Silva, Sergio

Abstract

Employing 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/1980/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1980.

as in new window
Length:
Date of creation: 2006
Date of revision:
Handle: RePEc:pra:mprapa:1980

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: stockmarket semi-strong informational efficiency; cointegration; Granger causality; macroeconomic variables; Brazilian economy;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Crowder, William J., 1996. "A note on cointegration and international capital market efficiency: A reply," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(4), pages 661-664, August.
  2. Ky-Hyang Yuhn, 1997. "Financial Integration and Market Efficiency: Some International Evidence from Cointegration Tests," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(2), pages 103-116.
  3. Jan Hanousek and Randall K. Filer & Jan Hanousek and Randall K. Filer, 1997. "The Relationship Between Economic Factors and Equity Markets in Central Europe," William Davidson Institute Working Papers Series 78, William Davidson Institute at the University of Michigan.
  4. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, Elsevier, vol. 5(3), pages 281-296, September.
  5. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
  6. repec:ebl:ecbull:v:6:y:2005:i:10:p:1-17 is not listed on IDEAS
  7. Sergio Da Silva & Guilherme Moura, 2005. "Is There a Brazilian J-Curve?," Economics Bulletin, AccessEcon, vol. 6(10), pages 1-17.
  8. Muradoglu, Yaz Gulnur & Metin, Kivilcim, 1996. "Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis," European Journal of Operational Research, Elsevier, Elsevier, vol. 90(3), pages 566-576, May.
  9. Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2002. "Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(3), pages 181-92, April.
  10. Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(4), pages 657-660, August.
  11. Lawrence S. Davidson & Richard T. Froyen, 1982. "Monetary policy and stock returns: are stock markets efficient?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 3-12.
  12. Caporale, G. M. & Pittis, N., 1998. "Cointegration and predictability of asset prices1," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(3), pages 441-453, June.
  13. Ercan Balaban & Kursat Kunter, 1996. "Financial Market Efficiency in a Developing Economy : The Turkish Case," Discussion Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey 9611, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  14. Kwon, Chung S. & Shin, Tai S., 1999. "Cointegration and causality between macroeconomic variables and stock market returns," Global Finance Journal, Elsevier, vol. 10(1), pages 71-81.
  15. Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "Causality and Cointegration in Stock Markets: The Case of Latin America," Working Papers Series, Central Bank of Brazil, Research Department 56, Central Bank of Brazil, Research Department.
  16. Dwyer, Gerald Jr. & Wallace, Myles S., 1992. "Cointegration and market efficiency," Journal of International Money and Finance, Elsevier, Elsevier, vol. 11(4), pages 318-327, August.
  17. Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, Elsevier, vol. 66(1-2), pages 225-250.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:1980. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.