Testes empíricos da eficiência do mercado acionário brasileiro
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This work has as objective the evaluation of the Brazilian stock market efficiency by applying statistical tests for its posterior formalization using the return on stocks modeled as for example, ARMA, ARCH - GARCH family Models, Decomposition Model and, last but not least, VAR approach. For this work it has been collected intraday data, which are considered high frequency data and therefore less susceptible to alterations in the market structure, either in the macro or microeconomic environments. The data was collected at fiveminutes intervals. The main reason for such decision was due to the low liquidity of the assets shares within the Brazilian financial market, that could have missing values if collected within a shorter period of time. The series that were chosen are: Petrobrás PN, Gerdau PN, Bradesco PN, Vale do Rio Doce PN and the Ibovespa Index. These series are highly representative of the Brazilian stock market. On the basis of the ADF test, it is evidence that the Brazilian stock market could be efficient and, thus is considered models for the series on the equity returns previously mentioned.