Testing the Weak-form Efficiency of BRICS Stock Markets | Asian Journal of Economics, Finance and Ma

The goal of this research is to see if the stock markets of Brazil, Russia, India, China, and South Africa have weak-form efficiency (BRICS). This research utilises daily BRICS stock index returns from 2000 to 2018, divided into pre-crisis, crisis, and post-crisis periods. For efficiency testing, we use both parametric and nonparametric methods. The findings of this study reveal that efficiency is really time-varying, and a key finding is that the results of serial correlation tests, Ljung box tests, and runs tests during the crisis era show that all markets exhibit weak form efficiency behaviour. However, the Hurst exponent results suggest that among these BRICS markets, only the Russian market is efficient across the whole study period.

Please see the link :- https://globalpresshub.com/index.php/AJEFM/article/view/773