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A eficiência dos mercados de capitais na Euronext: uma avaliação empírica da hipótese de eficiência nos índices
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Abstract(s)
A Hipótese de Eficiência de Mercado (HEM) centra-se no pressuposto de que todas as informações relevantes estejam imediatamente incorporadas nos preços dos ativos financeiros. Nesta linha, a HEM, na sua forma fraca presume que no preço dos ativos financeiros já estejam incorporadas todas as informações históricas, de modo que não seja possível obter ganhos extraordinários tem em conta somente os dados históricos dos mesmos, reconhecendo que sejam aleatórios e imprevisíveis. Este estudo tem como objetivo principal analisar a eficiência, na sua forma fraca, no mercado de capitais da Euronext Lisbon (PSI 20), bem como de outros índices da Euronext, como o CAC 40, BEL 20, ISEQ e AEX, no período de 2 de janeiro de 2020 a 27 de dezembro de 2024. Para dar mais robustez ao estudo iremos particionar a amostra em 3 subperíodos: o primeiro compreende o ano de 2 de janeiro de 2020 a 31 de dezembro de 2020, no qual designamos por 1ª Vaga de Covid-19; o segundo no qual definimos como 2ª Vaga de Covid-19, compreende o lapso temporal de janeiro de 2021 a 23 de fevereiro de 2022; por fim o último subperíodo classificamos como de Conflito e compreende os anos de 24 de fevereiro de 2022 a 27 de dezembro de 2024. Os resultados permitem evidenciar que os mercados da Euronext são globalmente eficientes no longo prazo, mas vulneráveis a choques externos, apresentando ineficiências transitórias associadas a contextos de volatilidade extrema, liquidez excessiva ou instabilidade geopolítica. A eficiência
informacional revela-se, assim, um processo adaptativo e não estático, dependente do ambiente económico. Em jeito de conclusão este estudo reforça a importância de abordagens temporais dinâmicas na análise da eficiência dos mercados e contribui para uma melhor compreensão da resiliência, vulnerabilidade e adaptabilidade dos mercados europeus face a crises e períodos de recuperação.
The Efficient Market Hypothesis (EMH) focuses on the assumption that all relevant information is immediately incorporated into the prices of financial assets. In this context, the MEH, in its weak form, assumes that all historical information is already incorporated in the price of financial assets, so that it is not possible to obtain extraordinary gains by considering only their historical data, recognising that they are random and unpredictable. The main objective of this study is to analyse weak-form efficiency in the Euronext Lisbon (PSI 20) capital market, as well as other Euronext indices, such as the CAC 40, BEL 20, ISEQ and AEX, for the period from 2 January 2020 to 27 December 2024. To make the study more robust, we will divide the sample into three sub-periods: the first covers the year from 2 January 2020 to 31 December 2020, which we refer to as the first wave of Covid-19; the second, which we define as the second wave of Covid-19, covers the period from January 2021 to 23 February 2022; finally, the last sub-period is classified as Conflict and covers the years from 24 February 2022 to 27 December 2024. The results suggest that Euronext markets are generally efficient in the long term but vulnerable to external shocks, exhibiting temporary inefficiencies associated with extreme volatility, excessive liquidity or geopolitical instability. Informational efficiency is therefore an adaptive rather than static process, dependent on the economic environment. In conclusion, this study reinforces the importance of dynamic temporal approaches in analysing market efficiency and contributes to a better understanding of the resilience, vulnerability and adaptability of European markets in the face of crises and periods of recovery.
The Efficient Market Hypothesis (EMH) focuses on the assumption that all relevant information is immediately incorporated into the prices of financial assets. In this context, the MEH, in its weak form, assumes that all historical information is already incorporated in the price of financial assets, so that it is not possible to obtain extraordinary gains by considering only their historical data, recognising that they are random and unpredictable. The main objective of this study is to analyse weak-form efficiency in the Euronext Lisbon (PSI 20) capital market, as well as other Euronext indices, such as the CAC 40, BEL 20, ISEQ and AEX, for the period from 2 January 2020 to 27 December 2024. To make the study more robust, we will divide the sample into three sub-periods: the first covers the year from 2 January 2020 to 31 December 2020, which we refer to as the first wave of Covid-19; the second, which we define as the second wave of Covid-19, covers the period from January 2021 to 23 February 2022; finally, the last sub-period is classified as Conflict and covers the years from 24 February 2022 to 27 December 2024. The results suggest that Euronext markets are generally efficient in the long term but vulnerable to external shocks, exhibiting temporary inefficiencies associated with extreme volatility, excessive liquidity or geopolitical instability. Informational efficiency is therefore an adaptive rather than static process, dependent on the economic environment. In conclusion, this study reinforces the importance of dynamic temporal approaches in analysing market efficiency and contributes to a better understanding of the resilience, vulnerability and adaptability of European markets in the face of crises and periods of recovery.
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Keywords
Crises Financeiras Eficiência Bolhas Especulativas Mercados Euronext Financial Crises Efficiency Speculative Bubbles Euronext Markets