Testing the Adaptive Markets Hypothesis for Brazil Other Languages

ID:
39858
Abstract:
The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sa˜o Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear dependency, to test for the Random Walk Hypothesis. We also use the generalized spectral test for the nonlinear case. We employ moving subsamples with fixed size, checking the existence of random walk behavior. We test whether market efficiency depends on market conditions(Adaptative Markets Hypothesis - AMH). We cannot reject both the RWH and AMH.
ABNT Citation:
DOURADO, G. A.; TABAK, B. M. Teste da Hipótese de Mercados Adaptativos para o Brasil . Revista Brasileira de Finanças, v. 12, n. 4, p. 517-517, 2014.
APA Citation:
Dourado, G. A., & Tabak, B. M. (2014). Teste da Hipótese de Mercados Adaptativos para o Brasil . Revista Brasileira de Finanças, 12(4), 517-517.
Permalink:
https://www.spell.org.br/documentos/ver/39858/testing-the-adaptive-markets-hypothesis-for-brazil/i/en
Document type:
Artigo
Language:
Português
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