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Testing the Adaptive Markets Hypothesis for Brazil

Author

Listed:
  • Glener de Almeida Dourado

    (Ministério Público Federal)

  • Benjamin Miranda Tabak

    (Catholic University of Brasilia)

Abstract

The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sao Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear dependency, to test for the Random Walk Hypothesis. We also use the generalized spectral test for the nonlinear case. We employ moving subsamples with fixed size, checking the existence of random walk behavior. We test whether market efficiency depends on market conditions (Adaptative Markets Hypothesis - AMH). We cannot reject both the RWH and AMH.

Suggested Citation

  • Glener de Almeida Dourado & Benjamin Miranda Tabak, 2014. "Testing the Adaptive Markets Hypothesis for Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(4), pages 517-553.
    • Handle: RePEc:brf:journl:v:12:y:2014:i:4:p:517-553
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    More about this item

    Keywords

    predictability; adaptive markets hypothesis; efficient market hypothesis; volatility; Ibovespa;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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