The brazilian stock market of the new millennium: an efficiency test

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Title The brazilian stock market of the new millennium: an efficiency test
O mercado acionário brasileiro do novo milênio: um teste de eficiência
 
Creator Gaio, Luiz Eduardo
Alves, Karina Lumena de Freitas
Pimenta Júnior, Tabajara
 
Description According to the Hypothesis of Efficient Market - HME, proposed by Fama (1970), in its weak form, an investor doesn’t get to predict the stock returns based on historical returns and thus doesn’t get abnormal returns in a consistent way. This paper is concerned verifying HME, in the weak form, in the Brazilian stock market by the analysis of fifty more negotiated stocks in BOVESPA since 2000 until 2007. The methodology was used based in the ARIMA models of time series and serial correlation tests of returns to prove or not the random behavior of the stock returns. The results had shown that Brazilian capital market did not evidence characteristics of an efficient market, in the weak form, in the considered period.
Segundo a Hipótese de Mercado Eficiente – HME, proposta por Fama (1970), na sua forma fraca, um investidor não consegue prever os retornos das ações baseando-se em uma série histórica dos mesmos e, assim, obter retornos extraordinários de forma consistente. O presente estudo teve como objetivo verificar a HME, na forma fraca, no mercado acionário brasileiro analisando-se os retornos das 50 ações mais negociadas na BOVESPA no período de 2000 a 2007. A metodologia utilizada foi baseada nos modelos ARIMA de séries temporais e nos testes de correlação serial dos retornos, a fim de se comprovar ou não aleatoriedade dos preços. Os resultados mostraram que mercado de ações brasileiro não evidenciou características de um mercado eficiente na forma fraca, no período considerado.
 
Publisher FUCAPE Business Shool
 
Date 2009-09-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
 
Format application/pdf
application/pdf
 
Identifier http://bbronline.com.br/index.php/bbr/article/view/364
10.15728/bbr.2009.6.3.1
 
Source Brazilian Business Review; Vol 6 No 3 (2009): September to December 2009; 217-231
Brazilian Business Review; v. 6 n. 3 (2009): Setembro a Dezembro de 2009; 217-231
1808-2386
 
Language eng
por
 
Relation http://bbronline.com.br/index.php/bbr/article/view/364/553
http://bbronline.com.br/index.php/bbr/article/view/364/554
 

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