Índices setoriais do mercado acionário brasileiro e eficiência de mercado: uma análise comparativa entre a crise do subprime e a pandemia da COVID-19
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Data
2026-01-22
Autores
Ferreira Filho, Marco Antônio
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Universidade Federal do Espírito Santo
Resumo
The main objective of this research was to examine the (in)efficiency of the Brazilian financial market, focusing on sectoral indices, during two periods: the Subprime crisis (September 2008 to December 2009) and the COVID-19 pandemic (February 2020 to January 2022). The study tested the validity of the Efficient Market Hypothesis (EMH), in its weak form, for return series by assessing the predictability of past price information. To this end, Multifractal Detrended Fluctuation Analysis (MF-DFA) was employed to identify and quantify multifractality in the time series. In addition, the study examined how market (in)efficiency changed between sectors and across crises of different natures, one financial and the other sanitary. The empirical results show that all sectors exhibited multifractal and antipersistent behavior in both periods. Moreover, the financial sector was the least efficient during the Subprime crisis but became the most efficient during the pandemic. Conversely, the industrial sector displayed higher efficiency in 2008, while the real estate sector was the least efficient during the COVID-19 period. The analysis indicates that multifractality stemmed from both long-range correlations and heavy tailed distributions, with the latter having a stronger influence. Finally, sectors were classified according to their degrees of market efficiency in each crisis. The findings contribute to the debate on market efficiency in emerging economies such as Brazil and offer relevant implications for investors and policymakers.
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Eficiência de mercado , MF-DFA , Crises econômicas , Multifractalidade , Índices setoriais , B3 , Market efficiency , Economic crises , Multifractality , Sectoral índices