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Informational inefficiency of the Brazilian stockmarket

Guttler, Caio and Meurer, Roberto and Da Silva, Sergio (2006): Informational inefficiency of the Brazilian stockmarket.

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Abstract

Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian stockmarket is efficient in processing new information about public macroeconomic data (semi-strong efficiency). We find the stockmarket to be inefficient, which is in line with most results for other emerging markets.

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