Evolving efficiency of the BRICS markets
Optimization and Control
2024-03-11 v1
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 covers 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.
Cite
@article{arxiv.2403.05233,
title = {Evolving efficiency of the BRICS markets},
author = {Maria V. Kulikova and David R. Taylor and Gennady Yu. Kulikov},
journal= {arXiv preprint arXiv:2403.05233},
year = {2024}
}
Comments
arXiv admin note: text overlap with arXiv:2310.04125