The random walk hypothesis and the behaviour of foreign capital portfolio flows: the Brazilian stock market case
In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the Sao Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for different investment horizons was conducted, and it is concluded that prior to 1994 the random walk hypothesis is rejected but after that it cannot be rejected. Institutionally maturing markets, increasing liquidity and the openness of Brazilian markets for international capital can explain this increase of efficiency of the Brazilian stock market. An error-correction model is used to explain the relationship between the IBOVESPA and foreign portfolio inflows. Evidence suggests that the release of foreign capital control is one of the main determinants of increased efficiency in the Brazilian equity market.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 13 (2003)
Issue (Month): 5 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:13:y:2003:i:5:p:369-378. 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: (Michael McNulty)
If references are entirely missing, you can add them using this form.