A aleatoriedade do passeio na BOVESPA: testando a eficiência do mercado acionário brasileira

Cristiano Augusto Fernandes Coelho, Marco Bonomo and Ricardo Torres

No 402, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: We tested two versions of the random walk model for portfolios of Brazilian stocks. We found evidence of persistency in daily and weekly returns, rejecting the random walk models. Those evidences are weaker in recent periods. We also found a Monday effect, other seasonality effects for monthly returns, and asymmetric first order cross correlations on portfolios ranked by sizes. Non-linearities in returns are also detected at several time horizons.

Date: 2000-10-01
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Related works:
Journal Article: A Aleatoriedade do Passeio na Bovespa: Testando a Eficiência do Mercado Acionário Brasileiro (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:402

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