AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY

Detalhes bibliográficos
Autor(a) principal: Goularte, Thiago Cyfer
Data de Publicação: 2021
Outros Autores: Silveira, Rodrigo Lanna Franco da
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/92704
Resumo: The purpose of this work is to investigate the existence of short-term returnpredictability in the Brazilian stock market between 1995 and 2016. The relationshipbetween predictability and liquidity is also evaluated, in addition to exploring whetherpredictability is influenced by economic crises and companies’ size. Using serial independence tests and regression analysis, results indicated that there is no predictabilityin the Brazilian stock market, except for portfolios of smaller companies. However, findings suggested a non-random occurrence of subperiods in which predictability exists,linked to the subprime crisis, but not to liquidity fluctuations nor domestic recessions.
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spelling AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCYUMA ANÁLISE DA EFICIÊNCIA NO MERCADO ACIONÁRIO BRASILEIROMarket efficiency. Predictability. Liquidity. CrisisG14Eficiência de mercado. Previsibilidade. Liquidez. CrisesG14The purpose of this work is to investigate the existence of short-term returnpredictability in the Brazilian stock market between 1995 and 2016. The relationshipbetween predictability and liquidity is also evaluated, in addition to exploring whetherpredictability is influenced by economic crises and companies’ size. Using serial independence tests and regression analysis, results indicated that there is no predictabilityin the Brazilian stock market, except for portfolios of smaller companies. However, findings suggested a non-random occurrence of subperiods in which predictability exists,linked to the subprime crisis, but not to liquidity fluctuations nor domestic recessions.O objetivo deste trabalho é investigar a existência de previsibilidade dos retornos de curto prazo no mercado de ações brasileiro entre 1995 e 2016. Avalia-se, ainda, arelação entre previsibilidade e variações da liquidez dos ativos, explorando-se, também,se o primeiro fator sofre influências de crises econômicas e do tamanho das empresasemissoras. Para isso, aplicam-se testes da hipótese de independência serial e análises deregressão. Conclui-se que inexiste previsibilidade permeando toda a série de retornos,exceto para portfólios de empresas menores. Contudo, há ocorrência não aleatória desubperíodos em que essa previsibilidade existe. Essa ocorrência está relacionada à crisedo subprime, mas não às flutuações da liquidez ou às recessões domésticas.UFRGS2021-06-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/9270410.22456/2176-5456.92704Análise Econômica; Vol. 39 No. 79 (2021): Junho/2021Análise Econômica; v. 39 n. 79 (2021): Junho/20212176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/92704/64822Copyright (c) 2021 Análise Econômicainfo:eu-repo/semantics/openAccessGoularte, Thiago CyferSilveira, Rodrigo Lanna Franco da2021-10-07T00:58:43Zoai:seer.ufrgs.br:article/92704Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2021-10-07T00:58:43Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
UMA ANÁLISE DA EFICIÊNCIA NO MERCADO ACIONÁRIO BRASILEIRO
title AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
spellingShingle AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
Goularte, Thiago Cyfer
Market efficiency. Predictability. Liquidity. Crisis
G14
Eficiência de mercado. Previsibilidade. Liquidez. Crises
G14
title_short AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
title_full AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
title_fullStr AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
title_full_unstemmed AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
title_sort AN ANALYSIS ON THE BRAZILIAN STOCK MARKET EFFICIENCY
author Goularte, Thiago Cyfer
author_facet Goularte, Thiago Cyfer
Silveira, Rodrigo Lanna Franco da
author_role author
author2 Silveira, Rodrigo Lanna Franco da
author2_role author
dc.contributor.author.fl_str_mv Goularte, Thiago Cyfer
Silveira, Rodrigo Lanna Franco da
dc.subject.por.fl_str_mv Market efficiency. Predictability. Liquidity. Crisis
G14
Eficiência de mercado. Previsibilidade. Liquidez. Crises
G14
topic Market efficiency. Predictability. Liquidity. Crisis
G14
Eficiência de mercado. Previsibilidade. Liquidez. Crises
G14
description The purpose of this work is to investigate the existence of short-term returnpredictability in the Brazilian stock market between 1995 and 2016. The relationshipbetween predictability and liquidity is also evaluated, in addition to exploring whetherpredictability is influenced by economic crises and companies’ size. Using serial independence tests and regression analysis, results indicated that there is no predictabilityin the Brazilian stock market, except for portfolios of smaller companies. However, findings suggested a non-random occurrence of subperiods in which predictability exists,linked to the subprime crisis, but not to liquidity fluctuations nor domestic recessions.
publishDate 2021
dc.date.none.fl_str_mv 2021-06-27
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/92704
10.22456/2176-5456.92704
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/92704
identifier_str_mv 10.22456/2176-5456.92704
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/92704/64822
dc.rights.driver.fl_str_mv Copyright (c) 2021 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2021 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 39 No. 79 (2021): Junho/2021
Análise Econômica; v. 39 n. 79 (2021): Junho/2021
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
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