O mercado acionário brasileiro é eficiente?

Abstract

The efficiency of the markets or not is a matter that remains polemic by several academics and market professionals, in the sense that some studies suggest its effectiveness, and others show themselves against this idea. In this context, the aim of this work is to verify whether the Brazilian stock markets may be considered efficient in the weak form, as well as investigate the possibility of existence of market anomalies known as “Monday Effect” and “Sell in may and go away Effect”. In order to verify the market efficiency, we used Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests. For the observation of Monday effect presence, we employed two procedures, namely: estimation of the regression coefficients using dummy variables and Wald test to investigate a possible statistical equality of the coefficients; and Anova F test and Kruskal-Wallis test to check for equality of means and medians, respectively. Regarding the calculation of Sell in may and go away effect, it was used only Anova F and Kruskal-Wallis tests. The results suggest the market efficiency in the weak form, as well as the no identification of Monday effect. However, it was found the presence of Sell in may and go away effect for the assets CSNA3 and USIM5, according to the methodology proposed, that is, a favorable seasonality in the months from November to April for the respective assets which, in short, contradicts the Efficient Market Hypothesis (EMH).