  We report an empirical study of the Ibovespa index of the Sao Paulo Stock
Exchange in which we detect the existence of long-range correlations. To
analyze our data we introduce a rescaled variant of the usual Detrended
Fluctuation Analysis that allows us to obtain the Hurst exponent through a
one-parameter fitting. We also compute a time-dependent Hurst exponent H(t)
using three-year moving time windows. In particular, we find that before the
launch of the Collor Plan in 1990 the curve H(t) remains, in general, well
above 1/2, while afterwards it stays close to 1/2. We thus argue that the
structural reforms set off by the Collor Plan has lead to a more efficient
stock market in Brazil. We also suggest that the time dependence of the
Ibovespa Hurst exponent could be described in terms of a multifractional
Brownian motion.
