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Informational inefficiency of the Brazilian stockmarket

Author

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  • Guttler, Caio
  • Meurer, Roberto
  • Da Silva, Sergio

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

  • Guttler, Caio & Meurer, Roberto & Da Silva, Sergio, 2006. "Informational inefficiency of the Brazilian stockmarket," MPRA Paper 1980, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:1980
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    References listed on IDEAS

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    16. Rashid Al-Qenae & Carmen Li & Bob Wearing, 2002. "The Information Content of Earnings on Stock Prices: The Kuwait Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 6(3-4), pages 197-221, September.
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    Cited by:

    1. Camelia Oprean, 2012. "Testing the financial market informational efficiency in emerging states," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 4(2), pages 181-190, Decembre.

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    More about this item

    Keywords

    stockmarket semi-strong informational efficiency; cointegration; Granger causality; macroeconomic variables; Brazilian economy;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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