Teste da hipótese do caminho aleatório no Brasil e nos Estados Unidos

• Ano de defesa: 2009
• Autor(a) principal: Farias, Ana Ester
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Santa Maria; BR; Administração; UFSM; Programa de Pós-Graduação em Administração
• Palavras-chave em Português: Previsibilidade; Eficiência de mercado; Caminho aleatório; Quociente de variâncias; Previsibility; Market efficiency; Random walk; Variance ratio; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: http://repositorio.ufsm.br/handle/1/4542

The stock market has been objective of many researches that seek to identify the presence of some previsibility degree in the return series. Inside of this context grew the Market Efficiency Theory divided in three forms: weak efficiency, semi-strong and strong. The random walk hypothesis was created to test, empirically, the Market Efficiency in the weak-form. Acceptance or rejection brings implications as the possibility of its to get to foresee, somehow, based in past returns, the future returns, removing advantage of that to gain extraordinary incomes. To test the random walk, specialists in this subject they created, along the years, methods and, among these, they stand out the variance ratio tests that, initially they were applied in developed markets and, nowadays, it has also been used at emerging markets. For the development of the present research, with the intention of testing the random walk hypothesis in an emerging market (Brazil) and in a developed market (United States), were implemented the following variance ratio tests: simple, multiple, based in the ranks and signs. The returns of IBOVESPA were used, as proxy of the Brazilian stock market, and of S&P 500, to the North American market, collected daily and weekly in the period of January 03, 2000 to April 25, 2008. The results demonstrated an acceptance of the random walk hypothesis in most of the made tests appearing for a weak form of market efficiency.