EficiÃncia do mercado acionÃrio brasileiro : retorno das aÃÃes negociadas na Bovespa, variÃveis macroeconÃmicas, causalidade e fatores condicionantes




Market efficiency is one of the most relevant fields of investigation among modern financial theory that has been developed from its theoretical perspective as well as from its practical relevance. The general objective of this research was to investigate Brazilianâs stock market efficiency under the focus of causality. The specific objectives aimed to characterize its level of conformity, to measure partial efficiency and analyze the significance of the relations between efficiency conditioning factors and its conformity levels. Monthly returns data from 743 individual stocks offered at Bovespa in November of 2007 (dependent variables), exchange rate, interest rate and inflation (independent variables) as well as mean, standard-deviation, range, skelness, and kurtosis of returns, financial amount traded, number of transactions and number of stocks traded (conditioning variables) were used. The analysis procedures were divided into three different methodological perspectives: Market efficiency analysis was performed through the relations between returns of individual stocks and macroeconomic variables under the focus of causality; Partial efficiency was measured by a set of indicators proposed; Significance of the conditioning factors of efficiency was analyzed with the use of Kruskal-Wallis test. The results from the market efficiency characterized the typology of five levels of conformity within the notion of efficiency. Partial efficiency indicators pointed low levels of efficiency for the Brazilian stock market. A ranking was elaborated for its several sectors. Some of the conditioning factors of efficiency investigated had significant relations with the levels of conformity within the notion of efficiency


mercado acionÃrio stock markets finanÃas eficiÃncia de mercado administracao market efficiency finance

Documentos Relacionados