Testando a Hipótese de Mercado Conjunto em mercados latino-americanos sob estresse financeiro

Abstract

This study aims to analyze whether, during periods of financial crisis, the main Latin American markets, Brazil, Mexico, and Argentina, maintain similar patterns of efficiency or exhibit signs of inefficiency that could be exploited by dynamic allocation and market timing strategies. The choice of these markets is justified by their representativeness in Latin America, allowing the identification of potential windows of opportunity for generating above-average returns, serving as a reference for decision-makers and portfolio managers. From a theoretical perspective, the study discusses the joint market hypothesis, which makes the efficiency test more realistic and robust by recognizing that temporary deviations may occur without completely invalidating market efficiency. This approach also considers that risk factors and the behavior of economic agents affect asset price formation. Methodologically, it employs Taleb's index, an extension of the volatility model proposed by Parkinson. The presence of the joint hypothesis is observed when this intraday volatility exceeds the critical region identified by the F-statistic. The research will analyze two periods of financial stress: the International Financial Crisis (December 2007 to June 2009) and the Covid-19 pandemic (January 2020 to December 2021). Based on the results, the study intends to discuss the following assumptions: a) During crises, intraday volatility exceeds the efficiency limit (1.66) in at least two of the three markets analyzed; b) Brazil and Argentina tend to show more signs of inefficiency than Mexico, possibly due to greater political and exchange rate instability; c) Event-driven active strategies and statistical arbitrage may be particularly effective in Brazil and Argentina during periods of financial stress. It was observed that the markets under study exhibited significant and distinct deviations from market efficiency. From a theoretical viewpoint, the findings of this work reinforce the validity of the Joint Market Hypothesis. The results support that event-driven active strategies and statistical arbitrage can be particularly effective in emerging markets.