Testing the Adaptive Markets Hypothesis for Brazil

Glener de Almeida Dourado () and Benjamin Tabak
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Glener de Almeida Dourado: Ministério Público Federal

Brazilian Review of Finance, 2014, vol. 12, issue 4, 517-553

Abstract: The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sao Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear dependency, to test for the Random Walk Hypothesis. We also use the generalized spectral test for the nonlinear case. We employ moving subsamples with fixed size, checking the existence of random walk behavior. We test whether market efficiency depends on market conditions (Adaptative Markets Hypothesis - AMH). We cannot reject both the RWH and AMH.

Keywords: predictability; adaptive markets hypothesis; efficient market hypothesis; volatility; Ibovespa (search for similar items in EconPapers)
JEL-codes: G14 G17 (search for similar items in EconPapers)
Date: 2014
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