Global Financial Factors and the COVID-19 Pandemic: What Drove the Degree of (In)Efficiency of the Brazilian Stock Market in the Recent Period?

This study gauges the possible drivers of the degree of (in)efficiency of the Brazilian stock market (IBOVESPA). It used daily data from 01 January, 2016 to 31 December, 2023, the time-varying fractionally integrated parameter, and the quantile regression. The results showed that the degree of (in)efficiency varies over time, and the level of persistence is higher for volatility than for returns. Notably, the degree of market (in)efficiency over time was not related to specific global financial factors (Standard & Poor's 500, exchange rate, WTI oil price, USA stock market uncertainty, USA economic policy uncertainty), but to the COVID-19 pandemic. The COVID-19 pandemic positively and significantly affected the degree of (in)efficiency across all quantiles and asymmetrically.