Boons, MartijnBrito, RicardoCitron, Raphael Beno2017-07-312018-01-202017-01-20http://hdl.handle.net/10362/22299Hong 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.engAsset pricingInfirmation and market efficiencyFinancial markets and macroeconomyInternational financial marketsmaster thesis201716941