Persistence and mean reversion: analyzing sector indices for Brazil

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamin Miranda
Data de Publicação: 2006
Outros Autores: Staub, Roberta Blass
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/903
Resumo: This paper contributes to the literature on testing the random walk hypothesis by examining a new data set for sector indices for the Brazilian equity market, and employing a joint variance ratio test with customized percentiles. The rejection of the random walk hypothesis has implications for both practitioners and academics as most asset pricing models assume this hypothesis and most practitioners search for patterns in asset’s price history (implicitly refuting the random walk hypothesis). Our paper suggests that we can price assets using this assumption, for the Brazilian equity market.
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spelling Persistence and mean reversion: analyzing sector indices for Brazilvariance ratiobootstrapemerging marketsrandom walk hypothesisrazão de variânciasbootstrapmercados emergenteshipótese de passeio aleatórioThis paper contributes to the literature on testing the random walk hypothesis by examining a new data set for sector indices for the Brazilian equity market, and employing a joint variance ratio test with customized percentiles. The rejection of the random walk hypothesis has implications for both practitioners and academics as most asset pricing models assume this hypothesis and most practitioners search for patterns in asset’s price history (implicitly refuting the random walk hypothesis). Our paper suggests that we can price assets using this assumption, for the Brazilian equity market.Este artigo contribui para a literatura de testes da hipótese de passeio aleatório examinando um novo conjunto de dados setoriais de ações para o mercado Brasileiro e empregando um teste de razão de variâncias com percentis customizados. A rejeição da hipótese de passeio aleatório tem implicações para ambos os profissionais de mercado e acadêmicos, pois a maioria dos modelos de apreçamento de ativos assume esta hipótese e os profissionais buscam padrões na história de preços de ativos (implicitamente refutando a hipótese de passeio aleatório). O artigo sugere que se pode usar a hipótese de passeio aleatório para apreçar ativos no mercado acionário brasileiro.Universidade de São Paulo, FEA-RP/USP2006-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/90310.1590/S1413-80502006000200003Economia Aplicada; Vol. 10 No. 2 (2006); 193-201Economia Aplicada; Vol. 10 Núm. 2 (2006); 193-201Economia Aplicada; v. 10 n. 2 (2006); 193-2011980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ecoa/article/view/903/915Copyright (c) 2015 Economia Aplicadainfo:eu-repo/semantics/openAccessTabak, Benjamin MirandaStaub, Roberta Blass2012-04-24T15:08:40Zoai:revistas.usp.br:article/903Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-09-13T12:16:48.510650Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Persistence and mean reversion: analyzing sector indices for Brazil
title Persistence and mean reversion: analyzing sector indices for Brazil
spellingShingle Persistence and mean reversion: analyzing sector indices for Brazil
Tabak, Benjamin Miranda
variance ratio
bootstrap
emerging markets
random walk hypothesis
razão de variâncias
bootstrap
mercados emergentes
hipótese de passeio aleatório
title_short Persistence and mean reversion: analyzing sector indices for Brazil
title_full Persistence and mean reversion: analyzing sector indices for Brazil
title_fullStr Persistence and mean reversion: analyzing sector indices for Brazil
title_full_unstemmed Persistence and mean reversion: analyzing sector indices for Brazil
title_sort Persistence and mean reversion: analyzing sector indices for Brazil
author Tabak, Benjamin Miranda
author_facet Tabak, Benjamin Miranda
Staub, Roberta Blass
author_role author
author2 Staub, Roberta Blass
author2_role author
dc.contributor.author.fl_str_mv Tabak, Benjamin Miranda
Staub, Roberta Blass
dc.subject.por.fl_str_mv variance ratio
bootstrap
emerging markets
random walk hypothesis
razão de variâncias
bootstrap
mercados emergentes
hipótese de passeio aleatório
topic variance ratio
bootstrap
emerging markets
random walk hypothesis
razão de variâncias
bootstrap
mercados emergentes
hipótese de passeio aleatório
description This paper contributes to the literature on testing the random walk hypothesis by examining a new data set for sector indices for the Brazilian equity market, and employing a joint variance ratio test with customized percentiles. The rejection of the random walk hypothesis has implications for both practitioners and academics as most asset pricing models assume this hypothesis and most practitioners search for patterns in asset’s price history (implicitly refuting the random walk hypothesis). Our paper suggests that we can price assets using this assumption, for the Brazilian equity market.
publishDate 2006
dc.date.none.fl_str_mv 2006-06-01
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://www.revistas.usp.br/ecoa/article/view/903
10.1590/S1413-80502006000200003
url https://www.revistas.usp.br/ecoa/article/view/903
identifier_str_mv 10.1590/S1413-80502006000200003
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/903/915
dc.rights.driver.fl_str_mv Copyright (c) 2015 Economia Aplicada
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2015 Economia Aplicada
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 10 No. 2 (2006); 193-201
Economia Aplicada; Vol. 10 Núm. 2 (2006); 193-201
Economia Aplicada; v. 10 n. 2 (2006); 193-201
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
_version_ 1800221694004035584

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