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.
| Item Type: | MPRA Paper |
|---|---|
| Original Title: | Informational inefficiency of the Brazilian stockmarket |
| Language: | English |
| 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 ; Insider Trading E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy |
| Item ID: | 1980 |
| Depositing User: | Sergio Da Silva |
| Date Deposited: | 03 Mar 2007 |
| Last Modified: | 28 Sep 2019 02:30 |
| URI: | https://mpra.ub.uni-muenchen.de/id/eprint/1980 |
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