Evolving efficiency of the BRICS markets

Maria V. Kulikova, David R. Taylor and Gennady Yu. Kulikov

Economic Systems, 2024, vol. 48, issue 1

Abstract: This paper investigates a time-varying version of weak-form market efficiency in the BRICS countries. A moving window test for sample autocorrelations is applied alongside a Kalman filter approach to recover the hidden dynamics of the market efficiency process through appropriate time-varying autoregressive models with both homoscedastic and heteroscedastic conditional variance. Monthly data cover the period from January 1995 to December 2020, which includes the 2008–2009 global financial crisis and the recent COVID-19 recession. The results reveal that all the BRICS stock markets were affected during both periods, but generally remained weak-form efficient, with the exception of China.

Keywords: Weak-form market efficiency; COVID-19 recession; 2008–2009 global financial crisis; Time-varying autoregressive models; Kalman filter (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x

DOI: 10.1016/j.ecosys.2023.101166

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