Persistence and mean reversion: analyzing sector indices for Brazil
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...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2006-06-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1413-80502006000200003 |