Are the emerging bric stock markets efficient?

Suresh K. G. (), Aviral Tiwari and Anto Joseph ()
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Suresh K. G.: The ICFAI University Dehradun,India
Anto Joseph: IBS,Hyderabad,India
Authors registered in the RePEc Author Service: Suresh K.G. ()

Economics Bulletin, 2012, vol. 32, issue 2, 1261-1271

Abstract: The 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).

Keywords: Emerging Stock markets; BRICs; Unit root test; BDS test; and K2k test. (search for similar items in EconPapers)
JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2012-04-24
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