Brazilian Stock Market Efficiency Before and after COVID-19 : The Role between Fractality and Predictability

This paper used multifractaldetrended fluctuation analysis to evaluate price efficiency dynamics and relate it to stock prices predictability in the Brazilian equity market. The main findings are: i) the presence of multifractality is confirmed before and after the COVID-19 pandemic, rejecting the random walk hypothesis; ii) stock returns are generally anti-persistent, where large (small) values are more likely to be followed by small (large) values; iii) after the pandemic the level of efficiency of the stocks traded in the Brazilian market decreases; and iv) a relation between efficiency and predictability was verified, being the least efficient assets more predictable