Abstract
This paper uses multifractal detrended fluctuation analysis to evaluate price efficiency dynamics and relate them to stock price predictability in the Brazilian equity market. The main findings are (1) multifractality is confirmed before and after the coronavirus disease (COVID-19) pandemic, rejecting the random walk hypothesis; (2) stock returns are generally antipersistent, with large (small) values more likely to be followed by small (large) values; (3) after the pandemic, the efficiency of stocks traded in the Brazilian market decreases; and (4) a relation was verified between efficiency and predictability, finding the least efficient assets to be the most predictable.
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