Análise da eficiência informacional do mercado acionário brasileiro

Abstract

The literature on economic development and developing countries finance has provided some fresh insight on how corruption affects capital markets, notably the stock market. Yet, research on the impact of specific corruption cases in developing countries capital markets is scarce. In this context, the so-called Joesley Day appears to be a promising case to be explored. This study seeks to examine the informational efficiency of Brazilian stock market following the repercussion of the news that disclaimed that the brothers Joesley e Wesley Batista, who were controllers of J&F investment holding company, have signed a plea agreement, admitting corruption and implying prominent politicians, including the President of the Republic at the time, Michel Temer. The literature review highlights the relationship between corruption rates and markets within the political economy of corruption, presents and discusses the Efficient Markets Hypothesis (EMH), and summarizes recent empirical research on Brazilian markets. The research is based on an event study, one of the most disseminated methodological approaches to empirical research in finance, using Bovespa Index and closing prices of ordinary shares of JBS, Alpargatas, BRF and Grendene. Other details are described in the methods section. The results find that there is some statistical evidence that the traded volume of JBS shares on the B3 was atypical a few days before the Joesley Day, suggesting that market participants have anticipated negative (non-public at the time) news that would strongly affect the company and the country on 18 May 2017. Nevertheless, the Brazilian stock market was efficient in the semi-strong form of the EMH, in line with recent findings of empirical research on Brazilian market efficiency. It is worth pointing out that the Joesley Day did not only affect the prices of J&F companies (as it is usually expected in a typical event study), but the Brazilian stock market in general. Further research is needed to understand the implications of such events.