Informational inefficiency of the Brazilian stockmarket
Download full text from publisher
References listed on IDEAS
- Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2002. "Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 181-192, April.
- Caporale, G. M. & Pittis, N., 1998. "Cointegration and predictability of asset prices1," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 441-453, June.
- Ercan Balaban & Kursat Kunter, 1996. "Financial Market Efficiency in a Developing Economy : The Turkish Case," Discussion Papers 9611, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Sergio Da Silva & Guilherme Moura, 2005. "Is There a Brazilian J-Curve?," Economics Bulletin, AccessEcon, vol. 6(10), pages 1-17.
- Jan Hanousek & Randall K. Filer, 2000.
"The Relationship Between Economic Factors and Equity Markets in Central Europe,"
The Economics of Transition,
The European Bank for Reconstruction and Development, vol. 8(3), pages 623-638, November.
- Jan Hanousek and Randall K. Filer & Jan Hanousek and Randall K. Filer, 1997. "The Relationship Between Economic Factors and Equity Markets in Central Europe," William Davidson Institute Working Papers Series 78, William Davidson Institute at the University of Michigan.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Muradoglu, Yaz Gulnur & Metin, Kivilcim, 1996. "Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis," European Journal of Operational Research, Elsevier, vol. 90(3), pages 566-576, May.
- Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 657-660, August.
- repec:ebl:ecbull:v:6:y:2005:i:10:p:1-17 is not listed on IDEAS
- Benjamin Miranda Tabak & Eduardo José Araújo Lima, 2002. "Causality and Cointegration in Stock Markets: The Case of Latin America," Working Papers Series 56, Central Bank of Brazil, Research Department.
- Kwon, Chung S. & Shin, Tai S., 1999. "Cointegration and causality between macroeconomic variables and stock market returns," Global Finance Journal, Elsevier, vol. 10(1), pages 71-81.
- Dwyer, Gerald Jr. & Wallace, Myles S., 1992. "Cointegration and market efficiency," Journal of International Money and Finance, Elsevier, vol. 11(4), pages 318-327, August.
- Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September.
- Ky-Hyang Yuhn, 1997. "Financial Integration and Market Efficiency: Some International Evidence from Cointegration Tests," International Economic Journal, Taylor & Francis Journals, vol. 11(2), pages 103-116.
- Crowder, William J., 1996. "A note on cointegration and international capital market efficiency: A reply," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 661-664, August.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
- Lawrence S. Davidson & Richard T. Froyen, 1982. "Monetary policy and stock returns: are stock markets efficient?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 3-12.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
Keywordsstockmarket semi-strong informational efficiency; cointegration; Granger causality; macroeconomic variables; Brazilian economy;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
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:pra:mprapa:1980. 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: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .