Informational inefficiency of the Brazilian stockmarket

Caio Guttler, Roberto Meurer and Sergio Da Silva

MPRA Paper from University Library of Munich, Germany

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.

Keywords: stockmarket semi-strong informational efficiency; cointegration; Granger causality; macroeconomic variables; Brazilian economy (search for similar items in EconPapers)
JEL-codes: E44 G14 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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