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Do industriels lead stock markets in Brazil?
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Autores
Orientador(es)
Resumo(s)
Hong et al. (2007) claim that a number of industry returns in U.S. and in eight
largest non-U.S. stock markets can forecast the stock market using monthly data. Tse
(2015) reexamine their results in U.S. with updated data and extended period, he finds
evidence that the market can predict industries more significantly than can the reverse.
I investigate these relationships for the Brazilian market, adding a study to check if the
causality from industries to the market is independent of the chosen model. Data is from
August of 1994 to September of 2016. I found that isn’t possible to conclude that
industry returns causes stock market returns for Brazil. I also show that the forecasting
power that some models may present isn’t robust to a sub-sample analysis. My overall
results are consistent with the efficient market hypothesis.
Descrição
Palavras-chave
Asset pricing Infirmation and market efficiency Financial markets and macroeconomy International financial markets