Persistence and mean reversion: analyzing sector indices for Brazil
DOI:
https://doi.org/10.1590/S1413-80502006000200003Keywords:
variance ratio, bootstrap, emerging markets, random walk hypothesisAbstract
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 assets price history (implicitly refuting the random walk hypothesis). Our paper suggests that we can price assets using this assumption, for the Brazilian equity market.Downloads
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Published
2006-06-01
Issue
Section
Papers
How to Cite
Persistence and mean reversion: analyzing sector indices for Brazil. (2006). Economia Aplicada, 10(2), 193-201. https://doi.org/10.1590/S1413-80502006000200003