IDEAS home Printed from https://ideas.repec.org/p/fgv/epgewp/402.html
   My bibliography  Save this paper

A aleatoriedade do passeio na BOVESPA: testando a eficiência do mercado acionário brasileira

Author

Listed:
  • Coelho, Cristiano Augusto Fernandes
  • Bonomo, Marco Antônio Cesar
  • Torres, Ricardo

Abstract

We tested two versions of the random walk model for portfolios of Brazilian stocks. We found evidence of persistency in daily and weekly returns, rejecting the random walk models. Those evidences are weaker in recent periods. We also found a Monday effect, other seasonality effects for monthly returns, and asymmetric first order cross correlations on portfolios ranked by sizes. Non-linearities in returns are also detected at several time horizons.

Suggested Citation

  • Coelho, Cristiano Augusto Fernandes & Bonomo, Marco Antônio Cesar & Torres, Ricardo, 2000. "A aleatoriedade do passeio na BOVESPA: testando a eficiência do mercado acionário brasileira," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 402, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  • Handle: RePEc:fgv:epgewp:402
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/376/2/1251.pdf
    Download Restriction: no

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lucena, Pierre & Figueiredo, Antonio Carlos & Lachtermacher, Gerson, 2008. "Critérios de formação de carteiras de ativos através de hierarchical clusters
      [Criteria of portfolio formation of stocks through hierarchical clusters]
      ," MPRA Paper 38105, University Library of Munich, Germany.
    2. Regis Augusto Ely, 2011. "Returns Predictability and Stock Market Efficiency in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 571-584.
    3. Boainain, Pedro G. & Valls Pereira, Pedro L., 2009. "“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro
      [Head and Shoulder: testing the profitability of graphic pattern of technical anal
      ," MPRA Paper 15653, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fgv:epgewp:402. 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: (Núcleo de Computação da FGV/EPGE). General contact details of provider: http://edirc.repec.org/data/epgvfbr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.