Guttler, Caio and Meurer, Roberto and Da Silva, Sergio (2006): Informational inefficiency of the Brazilian stockmarket.
Download (174kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Informational inefficiency of the Brazilian stockmarket|
|Keywords:||stockmarket semi-strong informational efficiency; cointegration; Granger causality; macroeconomic variables; Brazilian economy|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
|Depositing User:||Sergio Da Silva|
|Date Deposited:||03. Mar 2007|
|Last Modified:||25. Feb 2013 12:30|