Eficiência fraca e semiforte no mercado de capitais brasileiro

Abstract

The findings of this work identified that the IMOB, IFNC, IMAT and UTIL indices are consistent with the Efficient Market Hypothesis (EMH) in weak form, and the INDX, ICON, IMOB, IFNC, IMAT and UTIL indices are consistent with the semi-strong EMH . The IEE, INDX and ICON indices contradict the HME in its weak form, as they do not follow a random walk. In addition, the IEE index also returned unfavorable HME results in its semi-strong form, as it attested to the presence of abnormality in the average patterns of returns during weekdays and also the weekend effect. The objective was: to analyze the EMH proposed by Fama (1970 and 1991) in its weak and semi-strong forms in all B3 sector indices. The study innovates by using the time series of quotations from its opening date to the most recent full year - 2018, which had not been previously done in the national empirical literature. As a methodological framework, the augmented ADF unit root test was used (where the random walk was investigated) and event tests – occurrences of calendar anomalies (where the weekend effect was investigated).