英文标题：
《Inefficiency of the Brazilian Stock Market: the IBOVESPA Future
Contracts》
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作者：
Tarcisio M. Rocha Filho and Paulo M. M. Rocha
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最新提交年份：
2019
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英文摘要：
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.
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中文摘要：
基于巴西股市与国外市场和指数之间存在的长期强相互关联，我们提出了一些巴西股市效率低下的迹象。我们的结果显示，中国股市对标准普尔500指数和CAC 40等国外市场指数的依赖性很强，但对上海证交所180指数的依赖性不强，这表明两者之间存在着复杂的相互依赖关系。我们还表明，巴西BOVESPA指数的对数收益分布在一天的时间尺度上有一个离散的胖尾，这也是对有效均衡市场预期的偏差。作为巴西股市效率低下的最后一个论点，我们使用神经网络方法预测IBOVESPA未来合约价值的变动方向，其准确性允许财务回报超过被动策略。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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