Expectativas racionais e eficiência informacional: análise do mercado acionário brasileiro no período 1997-1999

Fernanda F. Cordeiro Perobelli, Fernando Perobelli and Marcelo Arbex

RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 2000, vol. 4, issue 2, 7-27

Abstract: The purpose of this paper is to test the Brazilian capital market's efficiency in face of monetary policy. In the period between the Asian crisis and the exchange flexibilization, the agents made a correct use of the available information and formed expectations about the policymaker's behavior, even in the moments of crisis, in order to maintain the political rules adopted previously. The study's approach was based on the discussion about rational expectations and their relationship with efficient markets. The Bolsa de Valores de São Paulo index (IBOVESPA) was chosen as a proxy to Brazilian capital market's behavior, because the index variation can be understood as the rate of return in that market. To evaluate the return's behavior, the Wilcoxon ranks test was employed. From this statistical test's results, it was possible to infer that the Brazilian market was efficient in face of the behavior of economic policy by rules.

Date: 2000
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