Eficiência fraca no mercado de ações: testes múltiplos aplicados para o caso brasileiro

Abstract

This study examines the hypothesis that the returns of the Brazilian stock market follow a martingale sequence, an implication of the definition of efficient market in weak form. For such, it is used three multiple variance ratio tests: Chow-Denning, Wild Bootstrap and a multiple version of Wright sign test. These last two are non-parametric finite sample tests. The tests are carried out for the Ibovespa and an index that contains companies with differentiated degree of corporate governance (IGC). Both weekly and daily data frequency are considered, and the research comprise the period from June-2001 to April-2009. For weekly returns, both indices registered refutations of the null for every test. For daily data, we used moving sub- sample windows technique to make possible an analysis of the behavior of the tests in the period studied. Using dollar data (US$), only for Ibovespa we could not reject the null hypothesis. But with database returns in Reais (R$), it is concluded that both indices had daily behaviors well-suited with the martingale hypothesis, with IGC reporting a more consistent results.