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Are the emerging bric stock markets efficient?

Author

Listed:
  • Suresh K. G.

    (The ICFAI University Dehradun,India)

  • Aviral Kumar Tiwari

    (The ICFAI University,Tripura,India)

  • Anto Joseph

    (IBS,Hyderabad,India)

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).

Suggested Citation

  • Suresh K. G. & Aviral Kumar Tiwari & Anto Joseph, 2012. "Are the emerging bric stock markets efficient?," Economics Bulletin, AccessEcon, vol. 32(2), pages 1261-1271.
    • Handle: RePEc:ebl:ecbull:eb-11-00369
    as

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    References listed on IDEAS

    as
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    4. George Kapetanios, 2005. "Unit‐root testing against the alternative hypothesis of up to m structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 123-133, January.
    5. Hall, Alastair R, 1994. "Testing for a Unit Root in Time Series with Pretest Data-Based Model Selection," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 461-470, October.
    6. Paresh Kumar Narayan & Stephan Popp, 2010. "A new unit root test with two structural breaks in level and slope at unknown time," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(9), pages 1425-1438.
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    More about this item

    Keywords

    Emerging Stock markets; BRICs; Unit root test; BDS test; and K2k test.;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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