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Analysis of Stock Market Efficiency in Emerging Markets: Evidence from BRICS

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  • Siva Kiran
  • Prabhakar Rao.R

Abstract

This study aims at examining the efficiency of stock returns of BRICS markets. Here we consider the daily data from 25th September 1997 to 31st March 2018. This study employs variance ratio tests for linear dependencies and BDSL test for nonlinear dependence. Further, the entire period of study is divided into sub-periods such as pre-crisis, crisis and post-crisis periods to understand the level of efficiency in different time periods. The results of variance ratio tests show that Brazil and China markets are weak-form efficient in all time periods while Russia and South Africa are a weak form efficient in the full period, crisis and post-crisis periods but not in pre-crisis period. With regard to Indian stock markets, the markets are found to be weakly efficient during pre-crisis and crisis period while market inefficiency is observed in full period and post-crisis period. However, the results of the nonlinear test show that all the BRICS markets are rejecting the random walk hypothesis due to the nonlinear dependence in all time periods of study.

Suggested Citation

  • Siva Kiran & Prabhakar Rao.R, 2019. "Analysis of Stock Market Efficiency in Emerging Markets: Evidence from BRICS," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(72), pages 60-77, June.
  • Handle: RePEc:rej:journl:v:22:y:2019:i:72:p:60-77
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    More about this item

    Keywords

    Weak Form Efficiency; Variance ratio tests; BDSL test; BRICS Stock Markets;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • 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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