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BIBTEX RIS

Evidence of inefficiency of the Brazilian stock market: The IBOVESPA future contracts

2020; Elsevier BV; Volume: 543; Linguagem: Inglês

10.1016/j.physa.2019.123200

1873-2119

T. M. Rocha Filho, Paulo M.M. Rocha,

Financial Markets and Investment Strategies

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.