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

  • 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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    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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