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