Are the emerging bric stock markets efficient?
AbstractThe study examines the weak form efficiency in stock returns for the economies of Brazil, Russia, India and China (BRIC), from January 2000 to December 2010. The study uses LM unit root test with one and two structural breaks as given by Lee and Strazicich (2003, 2004), along with the recently developed ADF type unit root test having two structural breaks as proposed by Narayan and Popp (2010). Subsequently, the BDS and K2k tests were used for checking the i.i.d properties of stock returns. We find the existence of unit root among the stock returns of the BRIC economies. However, these stock returns are not weak form market efficient as they do not follow the i.i.d property indicated by the K2k test that is also required for fulfillment of weak form efficiency (Rahman and Saadi, 2008).
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 32 (2012)
Issue (Month): 2 ()
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Emerging Stock markets; BRICs; Unit root test; BDS test; and K2k test.;
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- Rahman, Abdul & Saadi, Samir, 2008. "Random walk and breaking trend in financial series: An econometric critique of unit root tests," Review of Financial Economics, Elsevier, vol. 17(3), pages 204-212, August.
- William A. Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 1996.
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- Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192.
- William Barnett & A. Ronald Gallant & Melvin J. Hinich & Jochen A. Jungeilges & Daniel T. Kaplan & Mark J. Jensen, 2012. "A Single-Blind Controlled Competition Among Tests For Nonlinearity And Chaos," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201219, University of Kansas, Department of Economics, revised Sep 2012.
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