A (in)eficiência de mercados emergentes e desenvolvidos: uma análise a partir da teoria de fractais

• Ano de defesa: 2021
• Autor(a) principal: Daniel Pereira Alves de Abreu
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Minas Gerais; Brasil; FACE - FACULDADE DE CIENCIAS ECONOMICAS; Programa de Pós-Graduação em Administração; UFMG
• Palavras-chave em Português: Econofísica; Hipótese de Mercados Fractais; Eficiência de Mercado; Mercados Emergentes e Desenvolvidos; Mercado financeiro; Finanças; Economia
• Link de acesso: http://hdl.handle.net/1843/44622; https://orcid.org/my-orcid?orcid=0000-0002-9820-8453

Although one of the pillars of modern finance theory is the Market Efficiency Hypothesis, several recent studies have identified anomalies in markets that could not occur if they were efficient, which opened space for new theories to emerge and begin to analyze the market from a perspective that disregards its full efficiency. The main objective of this study was to study the behavior of the stock market in emerging countries, using the markets of the BRICS countries and developed countries, represented by the US, UK, Germany and Japan, focusing on identifying the evolution of the degree of efficiency of these markets over time, based on the Fractal Market Hypothesis. To this end, Econophysics metrics were used to identify long term memory, short term memory and time series complexity, through Hurst exponent, fractal dimension and entropy approximation, to then build an index that reflects the distance of the analyzed markets with what is expected from an efficient market. Among the main results, the inconstancy of the efficiency indexes over time was identified, which matches both previous studies within the field of econophysics. Furthermore, it was found that most of the inefficiency is due to the presence of deterministic elements in the variations of asset prices, which indicates opportunities for arbitrage. Finally, it was possible to identify a potential link between the empirical results and behavioral theories, such as the existence of information asymmetry, bounded rationality, frame dependence, and behavioral heuristics. Thus, it is possible to draw a parallel between the two currents, and econophysics could be used for modeling the data, while behavioral finance would provide the theoretical framework to explain the results.