Volatilidade no mercado acionário brasileiro: negociação ou passagem do tempo? Um estudo empírico
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2005-11-24
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The research aimed to test whether Brazilian stock market volatility is more related to trading rather than calendar time. Parametric and non-parametric tests were applied to daily returns series of the IBOVESPA Index and twenty-eight individual stocks covering the July-01-1994 to June-30-1999 period. Results show that - in line with the international experience - trading volatility prevails in the Brazilian stock market.