Brazilian stock-market efficiency before and after COVID-19: The roles of fractality and predictability

Leandro dos Santos Maciel

Global Finance Journal, 2023, vol. 58, issue C

Abstract: This paper uses multifractal detrended fluctuation analysis to evaluate price efficiency dynamics and relate them to stock price predictability in the Brazilian equity market. The main findings are (1) multifractality is confirmed before and after the coronavirus disease (COVID-19) pandemic, rejecting the random walk hypothesis; (2) stock returns are generally antipersistent, with large (small) values more likely to be followed by small (large) values; (3) after the pandemic, the efficiency of stocks traded in the Brazilian market decreases; and (4) a relation was verified between efficiency and predictability, finding the least efficient assets to be the most predictable.

Keywords: Price efficiency; stock markets; Multifractal detrended fluctuation analysis; Forecasting; COVID-19 pandemic (search for similar items in EconPapers)
JEL-codes: C22 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000820

DOI: 10.1016/j.gfj.2023.100887

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