文章基本信息

标题：Testing the Adaptive Markets Hypothesis for Brazil
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作者：Glener de Almeida Dourado ; Benjamin Miranda Tabak
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2015
卷号：12
期号：4
页码：517-553
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sao Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear dependency, to test for the Random Walk Hypothesis. We also use the generalized spectral test for the nonlinear case. We employ moving subsamples with fixed size, checking the existence of random walk behavior. We test whether market efficiency depends on market conditions (Adaptative Markets Hypothesis - AMH). We cannot reject both the RWH and AMH.
关键词：predictability;adaptive markets hypothesis;efficient market hypothesis;volatility;Ibovespa;previsibilidade;hipótese de mercados adaptativos;hipótese mercado eficiente;volatilidade;Ibovespa