Testes paramétricos e não-paramétricos de reversão para a média da rendibilidade de índices do mercado accionista

Nelson Manuel de P. B. da Costa Areal and Manuel José da Rocha Armada

RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 1999, vol. 3, issue 2, 7-28

Abstract: In the last few years several research studies challenged the traditional weak form efficiency tests of the stock market. These studies suggested mean aversion/reversion behaviour of stock market returns. This is a pioneer study of the Portuguese stock market, and uses nominal, real and excess returns, computed for various longer-horizons. The ordinary least square regression methodology was used. The statistical significance of the results was studied using traditional parametric tests as well as non-parametric tests. The non-parametric test does not require the assumption of normality and the use of correction procedures only valid asymptotically, which an advantage is due to the relative small sample size of these studies. The evidence is mixed, as we detected the presence of tendencies towards mean aversion and mean reversion. These results, however, do not necessarily reject the weak form market efficiency hypothesis.

Date: 1999
References: Add references at CitEc
Citations:

Downloads: (external link)
https://rac.anpad.org.br/index.php/rac/article/view/65/65 (text/html)
https://rac.anpad.org.br/index.php/rac/article/download/65/65 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:abg:anprac:v:3:y:1999:i:2:65

Access Statistics for this article

RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration) is currently edited by Marcelo de Souza Bispo

More articles in RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration) from ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
Bibliographic data for series maintained by Information Technology of ANPAD ().