Informational inefficiency of the Brazilian stockmarket

Abstract

Employing both cointegration analysis and a variety of Granger causality tests, we examine whether the Brazilian stockmarket is efficient in processing new information about public macroeconomic data (semi-strong efficiency). We find the stockmarket to be inefficient, which is in line with most results for other emerging markets.stockmarket semi-strong informational efficiency; cointegration; Granger causality; macroeconomic variables; Brazilian economy