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Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability

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  • dos Santos Maciel, Leandro

Abstract

This paper uses multifractal detrended fluctuation analysis to evaluate price efficiency dynamics and relate them to stock price predictability in the Brazilian equity market. The main findings are (1) multifractality is confirmed before and after the coronavirus disease (COVID-19) pandemic, rejecting the random walk hypothesis; (2) stock returns are generally antipersistent, with large (small) values more likely to be followed by small (large) values; (3) after the pandemic, the efficiency of stocks traded in the Brazilian market decreases; and (4) a relation was verified between efficiency and predictability, finding the least efficient assets to be the most predictable.

Suggested Citation

  • dos Santos Maciel, Leandro, 2023. "Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability," Global Finance Journal, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000820
    DOI: 10.1016/j.gfj.2023.100887
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    More about this item

    Keywords

    Price efficiency; stock markets; Multifractal detrended fluctuation analysis; Forecasting; COVID-19 pandemic;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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