Expectativas racionais e eficiência informacional: análise do mercado acionário brasileiro no período 1997-1999

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DOI: https://doi.org/10.1590/S1415-65552000000200002
Keywords:
rational expectations, rules, efficient markets, IBOVESPA

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Fernanda F. Cordeiro Perobelli
Pontifícia Universidade Católica do Rio de Janeiro
Fernando S. Perobelli
Universidade de São Paulo
Marcelo Aarestrup Arbex
Universidade Federal de Viçosa

Abstract

The purpose of this paper is to test the Brazilian capital market's efficiency in face of monetary policy. In the period between the Asian crisis and the exchange flexibilization, the agents made a correct use of the available information and formed expectations about the policymaker's behavior, even in the moments of crisis, in order to maintain the political rules adopted previously. The study's approach was based on the discussion about rational expectations and their relationship with efficient markets. The Bolsa de Valores de São Paulo index (IBOVESPA) was chosen as a proxy to Brazilian capital market's behavior, because the index variation can be understood as the rate of return in that market. To evaluate the return's behavior, the Wilcoxon ranks test was employed. From this statistical test's results, it was possible to infer that the Brazilian market was efficient in face of the behavior of economic policy by rules.

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How to Cite
Perobelli, F. F. C., Perobelli, F. S., & Arbex, M. A. (1). Expectativas racionais e eficiência informacional: análise do mercado acionário brasileiro no período 1997-1999. Journal of Contemporary Administration, 4(2), 7-27. https://doi.org/10.1590/S1415-65552000000200002
Issue
Vol. 4 No. 2 (2000): May/Aug - 2000
Section
Articles

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Author Biographies

Fernanda F. Cordeiro Perobelli, Pontifícia Universidade Católica do Rio de Janeiro

Mestre em Administração pela Pontifícia Universidade Católica do Rio de Janeiro, com interesse em pesquisa na área de finanças. 

Fernando S. Perobelli, Universidade de São Paulo

Doutorando no Instituto de Pesquisas Econômicas da Universidade de São Paulo. Professor da Faculdade de Economia e Administração da Universidade Federal de Juiz de Fora. Sua área de interesse em pesquisa é desenvolvimento econômico. 

Marcelo Aarestrup Arbex, Universidade Federal de Viçosa

Mestre em Economia Rural pela Universidade Federal de Viçosa. Professor do Departamento de Economia da Universidade Federal de Viçosa. Suas áreas de interesse em pesquisa são macroeconomia, economia monetária e fiscal.