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

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  • Coelho, Cristiano Augusto Fernandes
  • Bonomo, Marco Antônio Cesar
  • Torres, Ricardo

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.

Suggested Citation

  • Coelho, Cristiano Augusto Fernandes & Bonomo, Marco Antônio Cesar & Torres, Ricardo, 2000. "A aleatoriedade do passeio na BOVESPA: testando a eficiência do mercado acionário brasileira," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 402, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    • Handle: RePEc:fgv:epgewp:402
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    Cited by:

    1. Lucena, Pierre & Figueiredo, Antonio Carlos & Lachtermacher, Gerson, 2008. "Critérios de formação de carteiras de ativos através de hierarchical clusters [Criteria of portfolio formation of stocks through hierarchical clusters]," MPRA Paper 38105, University Library of Munich, Germany.
    2. Regis Augusto Ely, 2011. "Returns Predictability and Stock Market Efficiency in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(4), pages 571-584.
    3. Boainain, Pedro G. & Valls Pereira, Pedro L., 2009. "“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro [Head and Shoulder: testing the profitability of graphic pattern of technical anal," MPRA Paper 15653, University Library of Munich, Germany.

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