Economics at your fingertips  

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

Siva Kiran and Prabhakar Rao.R

Romanian Economic Journal, 2019, vol. 22, issue 72, 60-77

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.

Keywords: Weak Form Efficiency; Variance ratio tests; BDSL test; BRICS Stock Markets (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... /3560/5sivakiran.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Romanian Economic Journal is currently edited by Ioan Popa, PhD

More articles in Romanian Economic Journal from Department of International Business and Economics from the Academy of Economic Studies Bucharest Contact information at EDIRC.
Bibliographic data for series maintained by Radu Lupu ().

Page updated 2019-07-27
Handle: RePEc:rej:journl:v:22:y:2019:i:72:p:60-77