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Stock Market Efficiency of the BRICS Countries Pre-, During, and Post Covid-19 Pandemic: A Multifractal Detrended Fluctuation Analysis

Author

Listed:
  • Syed Moudud-Ul-Huq

    (Teesside University International Business School (TUIBS), Teesside University)

  • Md. Shahriar Rahman

    (Mawlana Bhashani Science and Technology University)

Abstract

In this study, we applied the multifractal detrended fluctuation analysis model to compare the multifractal characteristics of five BRICS stock markets over three different periods, using current financial information through July 2022. According to the findings, multifractal characteristics are present in all stock market returns. We discover long-term correlations in stock index returns, arguing the notion that the stock markets are inefficient and have not yet reached a mature market development following COVID-19. The Chinese stock index has been the most effective throughout the pandemic, while the Russian and Indian stock markets are the least efficient. We also used the GARCH(1,1) model, which demonstrates India's efficiency during the COVID-19 pandemic. Additional findings align with the MFDFA findings. The paper's findings are relevant to investors seeking investment opportunities on these stock exchanges and policymakers working to implement institutional reforms to boost stock market efficiency and promote the financial markets' long-term sustainability.

Suggested Citation

  • Syed Moudud-Ul-Huq & Md. Shahriar Rahman, 2025. "Stock Market Efficiency of the BRICS Countries Pre-, During, and Post Covid-19 Pandemic: A Multifractal Detrended Fluctuation Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1643-1705, March.
    • Handle: RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10607-3
    DOI: 10.1007/s10614-024-10607-3
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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