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arXiv · 1904.09214

Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts

Tarcisio M. Rocha Filho·Paulo M. M. Rocha
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Abstract

We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the S\&P 500 and CAC 40, but not to the Shanghai SSE 180, indicating an intricate interdependence. We also show that the distribution of log-returns of the Brazilian BOVESPA index has a discrete fat tail in the time scale of a day, which is also a deviation of what is expected of an efficient equilibrated market. As a final argument of the inefficiency of the Brazilian stock market, we use a neural network approach to forecast the direction of movement of the value of the IBOVESPA future contracts, with an accuracy allowing financial returns over passive strategies.

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Tarcisio M. Rocha Filho, Paulo M. M. Rocha. 2019-04-19. Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts. https://doi.org/10.1016/j.physa.2019.123200

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