Preços futuros brasileiros seguem um passeio aleatório? Um estudo empírico
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2005-11-24
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The research aimed to test whether Brazilian futures prices follow a random walk - one of the versions of the Efficient Market Hypothesis. Futures prices of the Ibovespa index and dollar futures contratacs have been analysed, from June-30-1994 to December-31-1998. Parametric and non-parametric procedures involving Lo-MacKinlay´s Variance Ratio lead to the hypothesis not being rejected, pointing to efficiency in those markets.