Is the Brazilian Stockmarket Efficient?

Caio Guttler, Federal University of Santa Catarina
Roberto Meurer, Federal University of Santa Catarina
Sergio Da Silva, Federal University of Santa Catarina

Abstract

Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian stockmarket is efficient in processing new information about public macroeconomic data (semi-strong efficiency). We find the stockmarket to be inefficient, which is in line with most results for other emerging markets.