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Testing the Weak-form Efficiency of BRICS Stock Markets

Author

Listed:
  • M. Sri Sai Kiran

    (Department of Economics, Sri Sathya Sai Institute of Higher Learning, Prashanthi Nilayam, Andhra Pradesh, India.)

  • M Mallikarjuna

    (Department of Economics, Sri Sathya Sai Institute of Higher Learning, Prashanthi Nilayam, Andhra Pradesh, India.)

  • R. Prabhakara Rao

    (Department of Economics, Sri Sathya Sai Institute of Higher Learning, Prashanthi Nilayam, Andhra Pradesh, India.)

Abstract

This study aims to test the weak-form efficiency of the stock markets of Brazil, Russia, India, China and South Africa (BRICS). This study uses daily stock indices returns of BRICS for the period 2000 to 2018 sub-dividing as pre-crisis, crisis, and post-crisis periods. Here we employ parametric as well as nonparametric tests for testing efficiency. The results of this study show that the efficiency is indeed time-varying and important observation is that the results obtained from serial correlation test, Ljung box test and runs test for the crisis period show that all the markets demonstrate weak form efficiency behavior. However, the results of Hurst exponent shows that only Russian market is efficient among these BRICS markets for the whole sample period.

Suggested Citation

  • M. Sri Sai Kiran & M Mallikarjuna & R. Prabhakara Rao, 2019. "Testing the Weak-form Efficiency of BRICS Stock Markets," Post-Print hal-05303067, HAL.
    • Handle: RePEc:hal:journl:hal-05303067
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