Financial markets perform two major functions. The first is the provision of liquidity in order to facilitate direct investment, hedging and diversification; the second is to ensure the efficient price discovery required in order to direct resources to where they can be best utilised within an economy. How well financial markets perform these functions is critical to the financial welfare of every individual in modern economies. As an example, retirement savings across the world are mostly invested in capital markets. Hence, the functioning of financial markets is linked to the standard of living of individuals. Technological advancements and new market regulations have in recent times significantly impacted how financial markets function, with no period in history having witnessed a more rapid pace of change than the last decade. Financial markets have become very complex, with most of the order execution now done by computer algorithms. New high-tech trading venues, such as dark pools, also now play outsized roles in financial markets. A lot of the impacts of these developments are poorly understood. In the EU particularly, the introduction of the Markets in Financial Instruments Directive (MiFID) and advancements in technology have combined to unleash a dramatic transformation of European capital markets. In order to better understand the role of high-tech trading venues in the modern financial markets' trading environment generally and in the UK in particular, I conduct three studies investigating questions linked to the three major developments in financial markets over the past decade; these are algorithmic/high-frequency trading, market fragmentation and dark trading. In the first study, I examine the changing relationship between the price impact of block trades and informed trading, by considering this phenomenon within a high-frequency trading environment on intraday and inter-day bases. I find that the price impact of block trades is stronger during the first hour of trading; this is consistent with the hypothesis that information accumulates overnight during non-trading hours. Furthermore, private information is gradually incorporated into prices despite heightened trading frequency. Evidence suggests that informed traders exploit superior information across trading days, and stocks with lower transparency exhibit stronger information diffusion effects when traded in blocks, thus informed block trading facilitates price discovery. The second study exploits the regulatory differences between the US and the EU to examine the impact of market fragmentation on dimensions of market quality. Unlike the US's Regulation National Market System, the EU's MiFID does not impose a formal exchange trading linkage or guarantee a best execution price. This has raised concerns about consolidated market quality in increasingly fragmented European markets. The second study therefore investigates the impact of visible trading fragmentation on the quality of the London equity market and find a quadratic relationship between fragmentation and adverse selection costs. At low levels of fragmentation, order flow competition reduces adverse selection costs, improves market transparency and enhances market efficiency by reducing arbitrage opportunities. However, high levels of fragmentation increase adverse selection costs. The final study compares the impact of lit and dark venues' liquidity on market liquidity. I find that compared with lit venues, dark venues proportionally contribute more liquidity to the aggregate market. This is because dark pools facilitate trades that otherwise might not easily have occurred in lit venues when the spread widens and the limit order queue builds up. I also find that informed and algorithmic trading hinder liquidity creation in lit and dark venues, while evidence also suggests that stocks exhibiting low levels of informed trading across the aggregate market drive dark venues' liquidity contribution.

Cette thèse est composée de trois chapitres distincts.Dans le premier chapitre, je montre que les mesures de liquidités traditionnelles, telles que la profondeur du marché, ne sont pas toujours pertinentes pour mesurer le bien-être des investisseurs. Je construis un modèle de marché conduit par les ordres et montre qu'une offre de liquidité élevée peut correspondre à de mauvaises conditions d'éxécution pour les fournisseurs de liquidité et à un bien-être relativement faible.Dans le deuxième chapitre, je modélise la vitesse des ajustements de prix à l'arrivée de nouvelles dans les marchés conduits pas les ordres, lorsque les investisseurs ont une capacité d'attention limitée.En raison de leur attention limitée, les investisseurs suivent imparfaitement l'arrivée de nouvelles. Ainsi, les prix s'ajustent aux nouvelles après un certain délai. Ce délai diminue lorsque le niveau d'attention des investisseurs augmente.Le délai d'ajustement des prix diminue également lorsque la fréquence à laquelle les nouvelles arrivent, augmente. Le troisième chapitre présente un travail écrit en collaboration avec Thierry Foucault. Nous construisons un modèle pour expliquer en quoi le trading à haute fréquence peut générer des "mini flash crashes" (un brusque changement de prix suivi d'un retour très rapide au niveau antérieur). Notre théorie est basée sur l'idée qu'il existe une tension entre la vitesse à laquelle l'information peut être acquise et la précision de cette information. Lorsque les traders à haute fréquence mettent en oeuvre des stratégies impliquant des réactions rapides à des événements de marché, ils augmentent leur risque à réagir à du bruit et génèrent ainsi des "mini flash crashes". Néanmoins, ils augmentent l'efficience informationnelle du marché. / This dissertation is made of three distinct chapters. In the first chapter, I show that traditional liquidity measures, such as market depth, are not always relevant to measure investors' welfare. I build a limit order market model and show that a high level of liquidity supply can correspond to poor execution conditions for liquidity providers and to a relatively low welfare.In the second chapter, I model the speed of price adjustments to news arrival in limit order markets when investors have limited attention.Because of limited attention, investors imperfectly monitor news arrival. Consequently prices reflect news with delay. This delay shrinks when investors' attention capacity increases. The price adjustment delay also decreases when the frequency of new arrival increases. The third chapter presents a joint work with Thierry Foucault. We build a model to explain why high frequency trading can generate mini-flash crashes (a sudden sharp change in the price of a stock followed by a very quick rversal). Our theory is based on the idea that there is a trade-off between speed and precision in the acquisition of information. When high frequency traders implement strategies involving fast reaction to market events, they increase their risk to trade on noise and thus generate mini flash crashes. Nonetheless they increase market efficiency.

中國大陸於1979年開始進行經濟改革，廣開經濟之門，大量吸收外資來活 潑各項經濟建設活動，正逐步邁向計劃商品經濟的新體制。其中，成立中 國鄭州市場的構想，乃至於正式開業，是大陸傳統社會主義的大改變，表 徵以市場機能為中心的資本主義在大陸抬頭，是應計劃經濟體制必需與自 由市場互相協調配合之經改政策的具體結果。中國鄭州商品交易所與上海 金屬交易所、深圳有色金屬交易所並稱為大陸三大期貨市場，占大陸期貨 總交易量的80％，深受舉世所矚目，成功與否，對大陸經改及形成亞太經 濟圈都具有重要意義。通常期貨市場加入純現貨市場經濟體系，對於穩定 價格和經濟發展有其正面貢獻。本文將探討中國大陸現階段如何建立期貨 市場？如何對大陸傳統經濟體制造成影響與挑戰？目前發展到甚麼程度？ 如何善加利用自由經濟體制的市場機能來成功的發展期貨市場？本文欲對 大陸目前尚在初級水準的期貨市場提出意見，甚至期待其能發展成全球性 期貨市場。本文對全中國大陸期貨市場將作一全面性的概觀、對幾個主要 的期貨交易所作一重點式的簡介，然後進入本文重點，亦即對中國鄭州商 品交易所作詳細探討，包括其運作狀態、市場效率性等，以下是本文內容 。時間數列的資產價格大多為具有單根的非穩定性變數的特性已廣被接受 ，非穩性變數使傳統的F-統計量或t-統計量會得出不正確的檢定結果及估 計。本文採用 Engle & Granger(1987)的二階段估計法，首先以 Dickey & Fuller (1981) 的單根檢定 (ADF unit root test) 得出鄭州 交易所及芝加哥交易所的期貨價格為具有單根的時間數列，其次以 Engle & Granger (1987) 的共整合檢定方法，得出對於才自1993年5月28 日成立的中國大陸鄭州商品交易所與自1865年即開始期貨交易的美國芝加 哥期貨交易所 ( CBOT) 同種商品之間，包括小麥、玉米及大豆，不具共 整合關係，推論此二市場目前尚沒有長期穩定均衡關係，亦即此二市場為 區隔性 ( seg- mented) ，而非共整合性 (cointegrated) 。反之，對鄭 州交易所內不同商品的期貨價格作兩兩共整合檢定，呈現相當高的共整合 現象，隱含一種商品的期貨價格可以被另一種商品的期貨價格所預測 (predictability)，違反市場效率性的假說，故本文得出結論：中國大陸 鄭州商品交易所成立至今短短十個月 (截至1994年3月底止之資料)，尚不 具市場效率性。 / It is now widely accepted that financial price series are generally not stationary and consequently, conventional statisti- cal procedures like F-statistic and t-statistic are no longer appropriate for testing market efficiency and estimation. Since nonstationary variables have infinite variance that make the F- test or t-test invalid, the standard hypothesis testing does not apply to time series with unit roots. This article adopts Engle and Granger's (1987) two-stage estimation. Firstly, apply augu- mented Dickey & Fuller unit root test (1981) to the argricultur markets are with unit roots which means both time series variables are nonstationary. Secondly, apply Engle & Granger's (1987) Cointegration Test to test whether the cointegration relationship, including wheat, corn and soybean futures market, between CZCE and CBOT exists or not, the former one is established on May 28th, 1993 in Mainland China and the latter one is established since 1865 in the United States. The result is the wheat, corn and soybean futures prices in these two markets are not cointegrated which implys by now these two markets have no longterm equilibrium relationship, also implys CZCE and CBOT are segmented, not cointegrated. On the contrary, applying Engle & Granger's (1987) Cointegration Tests to test the different argriculture futures market in CZCE, cointegration can not be rejected. That implys one argriculture futures price can be predicted by other argriculture futures price and the market efficiency hypothesis is rejected. Therefore this article has the following conclusion : the empirical results by now presented the rejection of the market efficiency hypothesis for three argriculture products -- wheat, corn, and soybean -- traded on China Zhengzhou Commodities Exchange.

This study will validate several key results from previous studies of bank loan announcement effects by using the data from Hong Kong market following the 1997 Asian crisis. Banks are believed to play a unique role in financial market which could effectively reduce the problem of information asymmetry and moral hazard. Banks could access borrowers’ inside information which is not available to other participants. Thus bank loan announcements convey valuable information to the market, and market response of the stock price should be positive. However, because of the significant reform in both financial market and information market, the valuation of bank loan announcement conveyed need to be reconsidered. This study investigates whether banks are still “unique” in the financial market or whether they are like middlemen between borrowers and investors. Data used in this study is collected from the Hong Kong Stock Exchange Index, and a standard event study with the market model is applied in the research to conduct the empirical analysis. The results suggest bank loan announcements are associated with significantly higher positive abnormal returns than non-bank loan announcements. Based on the market model of event study, market response is found to be significantly positive for loan syndication, short maturity loan and borrower’s debt ratio, and negatively related to firm size and loan size. Bank loans with refinancing and capital expenditure and no specific purpose have significantly higher positive abnormal returns, and borrowers with property and industrial industry type have more significant positive abnormal returns compared to other industry type. The findings also suggest the Hong Kong stock market is efficient in both strong and semi-strong form for bank loan announcements. A strong evidence of information leakage problem is found for non-bank loan announcements. The results are generally consistent with the existing literature.

This thesis investigates the deregulation of the audit industry in Sweden, the changing competitive environment and innovativeness, a research gap that has not yet been bridged. This paper raises the question of how the innovativeness of firms within the audit industry have changed after deregulation. The ambition of this research is to have both theoretical and practical knowledge contribution. The theoretical framework constructed for this research is rooted in the literature review of three areas: strategy and competition, deregulation, and organizational innovativeness. These three streams of research are used in order to examine the expectations that the industry has on the changing strategic landscape. Four perspectives and schools of thought in strategy and competition literature are reviewed: the competitive forces, strategic conflict school, resource-based school, and dynamic school. These schools are then put into two categories that are substantial opposites of one another; market power and efficiency. The need to consider these perspectives are addressed as follows: the perspective of competitive forces allows for understanding the industry structure, the strategic conflict school – to analyze the moves and interactions between competitors, the resource-based school – to understand firms resources, and finally, the dynamic school – to understand firms processes and capabilities. Summarizing and integrating these perspectives formed a hypothesized understanding that reflected the effects of deregulation and organizational innovativeness. In order to avoid modest pattern of deregulatory effects that could emerge by observations made in the early stage of deregulation, a methodological point of departure that is socially constructed and the production of knowledge that is based on interpretations and narratives were argued for. The research is furthermore based on a mix of deductive and inductive approach. The discussion with an industry member led to an interesting research context chosen as unit of analysis, which included the emerging tension between auditors and accounting-consultants. While the auditors’ believed in negative effects from the deregulation, the accounting-consultants had the opposite perception. Case-study approach with semi-structured and open-ended interviews were conducted on representatives from six firms, half of which represented the auditors and the rest the accounting-consultants.  The presentation of results followed the structure of market power, efficiency, and organizational innovativeness. The analysis of the results shows how firms within the audit industry had changed during the transition towards post-deregulation era. It shows how the previous construction of the audit-industry, characterized by homogeneity, has been decomposed and transformed to become more heterogeneous, by the new attractions and alternatives that now exist on the market. These attractions and alternatives creates incitement for decreased interaction between competitors that causes firms to engage in conflicts, and to redistribute their resources in order to imitate each others processes, which in turn creates new organizational innovativeness. The findings of this research also shows how the resources that were possessed by the firm before the deregulation tend to determine how the firm utilize the innovativeness in relation to the market after the deregulation.

Forskningen kring effektiva marknader är uppdelad; ena sidan påstår att marknaden är fullständigt effektiv och det inte går att skapa någon form av överavkastning. Andra sidan hävdar tvärtemot att endast historisk information reflekteras i dagens priser. På kort sikt kan det finns en viss ineffektivitet och de flesta erkänner att marknaden innehåller anomalier Syftet med denna studie är att undersöka om det existerar systematiska fel beträffande informationsflöden som pekar mot att den svenska aktiemarknaden inte är av semi-stark form eller stark form av effektivitet Vi utgår från tre metodologiska ställningstaganden; utgångspunkt, forskningsansats samt kunskapssyn. En deduktivt kvantitativ metod tillämpas och vi applicerar metoden för event study. Vi finner stöd för att det finns systematiska fel i marknaden beträffande informationsflöden i form av aktierekommendationer. Resultaten antyder att den svenska aktiemarknaden inte är av starkt effektiv form och i ett fall av fyra finner vi att den inte heller besitter semi-stark form. / Research concerning efficient markets are divided into two camps; the one hand, claims that the market is fully efficient and it is not possible to create any kind of excess returns. The other side argues the contrary that only historical information are reflected in today’s prices. Short term, there is some inefficiency and most recognize that the market contain anomalies The purpose is to investigate whether there exist indications regarding flows of information to the Swedish stock market suggesting a semi-strong form or strong form of efficiency. We start from three methodological statements; starting point, the research approach and epistemological beliefs. A deductive quantitative methodology is used, and we apply the method of event study. We find evidence for the existence of systematic errors in the market in terms of flows of information in the form of stock recommendations. The results suggest that the Swedish stock market is not of the strong efficient form and in one case out of four, we find that it does not possess the semi-strong form.

This thesis investigates the nature of joint dividend-and-earnings signalling in announcements to the New Zealand Stock Exchange in the 1990s. Initially the Market Model is used to compute expected returns, and the abnormal returns derived from these are subjected to restricted least squares regressions to separate out a putative dividend signal from the concurrent earnings signal. But with the Market Model, the zero-value company returns associated with an absence of trading in thinly traded stocks are over-represented in returns distributions leading to problems of bias. New models are developed that explicitly exploit zero returns. The first alternative methodology entails friction modelling, which uses a maximum likelihood estimation procedure to find the relationship coefficients and the range of returns that should be considered as zero, and then proceeds to treat them as a separate category. The second alternative methodology is that of state asset models, which take a fresh new look at investor perceptions of the connection between movements in company returns and those of the concurrent underlying market. Zero-value company returns cease to be zero in value, where a state model is rotated, or alternatively they can be modelled as an extra state. All three methodologies furnish some evidence of dividend signalling; but this evidence is highly dependent on small changes within the given methodology.

This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). The transmission networks that link regional systems via interconnectors across the eastern states have played an important role in the connection of the regional markets into an efficient national electricity market. During peak periods, the interconnectors become congested and the NEM separates into its regions, promoting price differences across the market and exacerbating reliability problems in regional utilities. This thesis is motivated in part by the fact that assessment of these prices and volatility within and between regional markets allows for better forecasts by electricity producers, transmitters and retailers and the efficient distribution of energy on a national level. The first two papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be used to forecast the pricing behaviour of individual markets. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and volatility spillovers within (intra-relationship) and across (inter-relationship) the various spot markets. The results show evidence of the fact that prices in one market can be explained by their own price lagged one-period and are independent of lagged spot prices of any other markets when daily data is employed. This implies that the regional spot electricity markets are not fully integrated. However, there is also evidence of a large number of significant ownvolatility and cross-volatility spillovers in all five markets indicating that shocks in some markets will affect price volatility in others. Similar conclusions are obtained when the daily data are disaggregated into peak and off-peak periods, suggesting that the spot electricity markets are still rather isolated. These results inspired the research underlying the third paper of the thesis on modelling the dynamics of spot electricity prices in each regional market. A family of generalised autoregressive conditional heteroskedasticity (GARCH), RiskMetrics, normal Asymmetric Power ARCH (APARCH), Student APARCH and skewed Student APARCH is used to model the time-varying variance in prices with the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The important contribution in this paper lies in the use of two latter methodologies, namely, the Student APARCH and skewed Student APARCH which take account of the skewness and fat tailed characteristics of the electricity spot price series. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information (that is, positive shocks or good news are associated with higher volatility than negative shocks or bad news). The fourth research paper attempts to capture salient feature of price hikes or spikes in wholesale electricity markets. The results show that electricity prices exhibit stronger mean-reversion after a price spike than the mean-reversion in the normal period, suggesting the electricity price quickly returns from some extreme position (such as a price spike) to equilibrium; this is, extreme price spikes are shortlived. Mean-reversion can be measured in a separate regime from the normal regime using Markov probability transition to identify the different regimes. The fifth and final paper investigates whether interstate/regional trade has enhanced the efficiency of each spot electricity market. Multiple variance ratio tests are used to determine if Australian spot electricity markets follow a random walk; that is, if they are informationally efficient. The results indicate that despite the presence of a national market only the Victorian market during the off-peak period is informationally (or market) efficient and follows a random walk. This thesis makes a significant contribution in estimating the volatility and the efficiency of the wholesale electricity prices by employing four advanced time series techniques that have not been previously explored in the Australian context. An understanding of the modelling and forecastability of electricity spot price volatility across and within the Australian spot markets is vital for generators, distributors and market regulators. Such an understanding influences the pricing of derivative contracts traded on the electricity markets and enables market participants to better manage their financial risks.

Submitted by Alexandre Metello (alexandremetello@gmail.com) on 2015-03-06T20:48:35Z No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-08T16:13:06Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-20T15:46:27Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Made available in DSpace on 2015-05-21T19:31:14Z (GMT). No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) Previous issue date: 2014-12-23 / This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature. / Este trabalho busca testar a eficiência do mercado de ações brasileiro através da identificação da existência de post-earnings announcement drift, fenômeno já bastante estudado e reproduzido no mercado norte-americano. Segundo a literatura existente a respeito do assunto, a informação contida na divulgação de resultados de uma firma é relevante para a formação de preço de suas ações. Além disso, os retornos anormais acumulados de ações de firmas que divulgam resultados com 'surpresas positivas' possuem tendência positiva por algum tempo após a divulgação do resultado. Por outro lado, os retornos anormais acumulados de ações de empresas que divulgam resultados com 'surpresas negativas' possuem tendência negativa por algum tempo após a divulgação do resultado. A identificação de post-earnings announcement drift no mercado acionário brasileiro pode ser de grande utilidade para a estruturação de estratégias de arbitragem e gestão de portfólios. Após uma revisão teórica, o resultado é apresentado e se mostra parcialmente consistente com a literatura existente.

Submitted by Ludmilla Oliveira Ambrosi Sales (ludy.sales@gmail.com) on 2017-02-19T02:58:28Z No. of bitstreams: 1 Dissertação de Ludmila_FGV.pdf: 1634569 bytes, checksum: f69fd3c3e31851a5d2a8496dbd9c50a8 (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Trabalho submetido duas vezes. on 2017-02-20T16:33:52Z (GMT) / Submitted by Ludmilla Oliveira Ambrosi Sales (ludy.sales@gmail.com) on 2017-02-20T21:43:17Z No. of bitstreams: 1 Dissertação de Ludmila_FGV_.pdf: 2700997 bytes, checksum: 502da2dea23764b52c65a0ab70a00a9f (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Ludmilla, Está correto, porém, o código da ficha catalográfica (CDU 336.76) deve estar ao lado direito da ficha. Aguardo on 2017-02-20T21:48:45Z (GMT) / Submitted by Ludmilla Oliveira Ambrosi Sales (ludy.sales@gmail.com) on 2017-02-20T23:06:20Z No. of bitstreams: 1 Dissertação de Ludmila_FGV_.pdf: 2701182 bytes, checksum: c86ac2ab833162046024483778a8b39a (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-02-20T23:28:14Z (GMT) No. of bitstreams: 1 Dissertação de Ludmila_FGV_.pdf: 2701182 bytes, checksum: c86ac2ab833162046024483778a8b39a (MD5) / Made available in DSpace on 2017-02-21T18:12:36Z (GMT). No. of bitstreams: 1 Dissertação de Ludmila_FGV_.pdf: 2701182 bytes, checksum: c86ac2ab833162046024483778a8b39a (MD5) Previous issue date: 2017-01-27 / This paper revisits the theory of market efficiency and analyzes the Brazilian capital market for a more recent period in order to verify if the improvement pointed out in the study by Bonomo (2002) persists, that is, if the reduction of inefficiency in the course of the Time is robust. The existence of autocorrelation may be an indication of abnormal returns if the strategies adopted exploit this correlation and generate an abnormal return. The autocorrelation tests adopted in the random walk literature, for the most part, do not take into account the Heteroscedasticity characteristic of financial assets and, therefore, this work seeks to apply Bartlett’s formula for non-linear processes in order to verify if existence Of autocorrelation between the Brazilian papers analyzed and if this is enough to generate an extraordinary return. Traditional statistical and correlation tests were applied together with random walk tests to verify if the Brazilian capital market is efficient in its weak form. / Este trabalho revisita a teoria de eficiência de mercado e analisa o mercado de capitais brasileiros para um período mais recente a fim de verificar se a melhora apontada no estudo feito por Bonomo (2002) persiste, ou seja, se a redução da ineficiência no decorrer do tempo é robusta. Foram selecionadas 15 ações brasileiras que compunham o IBOVESPA de Maio 2016 e o período de análise compreende Janeiro de 2000 a Maio 2016. A existência de autocorrelação pode ser um indício de retornos anormais caso as estratégias adotadas explorem essa correlação e consigam gerar um retorno anormal. Os testes de autocorrelação adotados na literatura de passeio aleatório, em sua maioria, não levam em conta a característica de Heterocedasticidade dos ativos financeiros e, por isso, este trabalho busca aplicar a fórmula de Bartlett para processos não lineares a fim de verificar se a existência de autocorrelação entre os papéis brasileiros analisados e se esta é suficiente para gerar um retorno extraordinário. Testes estatísticos tradicionais e de correlação foram aplicados juntamente a testes de random walk para verificar se o mercado de capitais brasileiro é eficiente na sua forma fraca.