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Abstract
This article seeks to contrast the weak form efficiency of the Brazilian,
US, and Mexican stock indexes, based on the assumption that an efficient market is not predictable. With this goal in mind, we assessed predictability using runs tests and automatic variance ratio, in the 1995-2014 period. The results shed light on the fact that, in recent years, stock markets in Brazil and Mexico have gone from being non-efficient to being efficient. In contrast, the United States shows predictability at different time intervals.
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