Sectoral Indices of the Brazilian Stock Market and Market Efficiency: A Comparative Analysis Between the Subprime Crisis and the COVID-19 Pandemic
Name: MARCO ANTONIO FERREIRA FILHO
Publication date: 22/01/2026
Examining board:
Name |
Role |
|---|---|
| ANTÔNIO FERNANDO COSTA PELLA | Examinador Externo |
| EDSON ZAMBON MONTE | Presidente |
| RICARDO RAMALHETE MOREIRA | Examinador Interno |
Summary: 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 (January 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 heavytailed 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.
