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Is the Brazilian stockmarket efficient?

Author

Listed:
  • Sergio Da Silva

    () (Department of Economics, Federal University of Santa Catarina)

  • Roberto Meurer

    () (Department of Economics, Federal University of Santa Catarina)

  • Caio Guttler

    () (Department of Economics, Federal University of Santa Catarina)

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.

Suggested Citation

  • Sergio Da Silva & Roberto Meurer & Caio Guttler, 2008. "Is the Brazilian stockmarket efficient?," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-16.
  • Handle: RePEc:ebl:ecbull:eb-07g10016
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    References listed on IDEAS

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    8. Jeng, Chyong-Chiou & Butler, J. S. & Liu, Jin-Tan, 1990. "The informational efficiency of the stock market : The international evidence of 1921-1930," Economics Letters, Elsevier, vol. 34(2), pages 157-162, October.
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    Cited by:

    1. Da Silva, Sergio, 2015. "Financial Market Efficiency Should be Gauged in Relative Rather than Absolute Terms," MPRA Paper 64497, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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