Does the Small Caps Index of B3 follow a Random Walk?

Authors

  • João Guilherme Magalhães-Timotio Universidade Federal de Minas Gerais https://orcid.org/0000-0001-9622-935X
  • Geraldo Alemandro Leite Filho Universidade Estadual de Montes Claros/Professor do curso de Administração
  • Bruno Pérez Ferreira Universidade Federal de Minas Gerais/CEPEAD
  • Francisco Vidal Barbosa Universidade Federal de Minas Gerais/CEPEAD

Keywords:

Market Efficiency; Random Walk; Structural Breaks; Small Caps (SMLL); B3.

Abstract

This study investigates the market efficiency of the Small Caps Index (SMLL) of B3 (Brasil, Bolsa e Balcão – the Brazilian stock exchange) by applying unit root tests (ADF and KPSS) and analyzing structural breaks. The results indicate that the SMLL time series follows a random walk, which is consistent with the weak form of the Efficient Market Hypothesis (EMH). The presence of multiple structural breaks suggests that the market efficiently reacts to new information, aligning with the semi-strong form of the EMH.

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Author Biographies

Geraldo Alemandro Leite Filho, Universidade Estadual de Montes Claros/Professor do curso de Administração

Doutor em Administração. Professor de ensino superior da Universidade Estadual de Montes Claros - UNIMONTES no curso de Ciências Contábeis Coordena projeto na área de Determinantes do Endividamento Pessoal. Coordenador do Curso de Ciências Contábeis 2022-2023.

Bruno Pérez Ferreira, Universidade Federal de Minas Gerais/CEPEAD

Possui graduação em Administração Pública pela Fundação João Pinheiro (2002), graduação em Matemática pela Universidade Federal de Minas Gerais (2000), mestrado em Finanças pela Universidade Federal de Minas Gerais (2006), mestrado em Economia da Saúde e Fármaco-Economia - Universitat Pompeu Fabra (2007) e doutorado em Administração pela Universidade Federal de Minas Gerais (2011). Atualmente é professor associado da Universidade Federal de Minas Gerais. Tem experiência na área de Administração, com ênfase em Finanças, atuando principalmente nos seguintes temas: investimento, finanças públicas, prestação de contas, orçamento público e accountability.

Francisco Vidal Barbosa, Universidade Federal de Minas Gerais/CEPEAD

É professor titular da Universidade Federal de Minas Gerais e professor visitante da University of Applied Sciences Schmalkalden - Alemanha desde 2002. Pós-doutorado em Gestão de empresas de base tecnológica - setor de biotecnologia pela Harvard University em Cambridge - EUA (2001/2002), doutorado em Competitividade Empresarial - Aston University em Birmingham - Reino Unido (1996), mestrado em Administração pela Universidade Federal de Minas Gerais (1984). Possui graduação em Engenharia Mecânica pela Universidade Federal Fluminense (1977), graduação em Administração pela Universidade Federal de Minas Gerais (1983), Tem lecionado, pesquisado e orientado alunos dos cursos de graduação, especialização, mestrado e doutorado na UFMG desde 1985. Ministra disciplinas na área de gestão e finanças na Faculdade de Administração e Ciências Econômicas a respeito de temas como: empreendedorismo social e financeiro, Inovação tecnológica e social, Investimento, Cálculo Financeiro, Gestão de empresas de bionegócios, Microfinanças, Microcrédito, Sustentabilidade. Coordena trabalhos na área de Administração, atuando principalmente nos seguintes temas: Competitividade, Empreendedorismo e venture capital, Performance, Gestão de empresas de biotecnologia, Investimento, Governança corporativa, e Gestão de projetos de responsabilidade e inclusão social. Coordena projetos de Intercâmbio Internacional com universidades de diversos países: Alemanha, Argentina, EUA, Finlândia, México.

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Published

24-10-2024

How to Cite

MAGALHÃES-TIMOTIO, J. G.; LEITE FILHO, G. A.; FERREIRA, B. P. .; BARBOSA, F. V. Does the Small Caps Index of B3 follow a Random Walk?. Revista de Ensino, Pesquisa e Extensão em Gestão, [S. l.], v. 7, n. 1, p. e36840, 2024. Disponível em: https://periodicos.ufrn.br/revenspesextgestao/article/view/36840. Acesso em: 21 nov. 2024.

Issue

2024

Section

Artigos