Variance ratio tests of the random walk in the Brazilian sectorial indexes
Abstract
This study aims to evaluate the hypothesis of random walk in the sector indexes of the BM&F/ Bovespa through the use of variance ratio tests. For this purpose, we used daily prices of the sector indexes for the period from 03/01/2008 to 30/08/2011 totaling 880 observations. The results allow concluding that there is a pattern among the sectors, which is to reject the hypothesis of random walk for tests that consider lags singly and not to reject the tests that jointly consider the lags. However, the real estate industry rejects the hypothesis of random walk in all types of tests, revealing that there was arbitrage opportunity.
Keywords: efficiency, variance ratio, random walk, sector indices, Brazilian market.
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