Persistence and mean reversion: analyzing sector indices for Brazil

Economia Aplicada

Benjamin Miranda Tabak¹  Roberta Blass Staub² 

[1] ,Banco Central do Brasil

关键词: variance ratio;    bootstrap;    emerging markets;    random walk hypothesis;    razão de variâncias;    bootstrap;    mercados emergentes;    hipótese de passeio aleatório;   

DOI  :  10.1590/S1413-80502006000200003

来源: SciELO

【 摘 要 】

This paper contributes to the literature on testing the random walk hypothesis by examining a new data set for sector indices for the Brazilian equity market, and employing a joint variance ratio test with customized percentiles. The rejection of the random walk hypothesis has implications for both practitioners and academics as most asset pricing models assume this hypothesis and most practitioners search for patterns in asset’s price history (implicitly refuting the random walk hypothesis). Our paper suggests that we can price assets using this assumption, for the Brazilian equity market.

【 授权许可】

CC BY-NC   
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