IDEAS home Printed from https://ideas.repec.org/a/eee/ecosys/v48y2024i1s093936252300105x.html
   My bibliography  Save this article

Evolving efficiency of the BRICS markets

Author

Listed:
  • Kulikova, Maria V.
  • Taylor, David R.
  • Kulikov, Gennady Yu.

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.

Suggested Citation

  • Kulikova, Maria V. & Taylor, David R. & Kulikov, Gennady Yu., 2024. "Evolving efficiency of the BRICS markets," Economic Systems, Elsevier, vol. 48(1).
    • Handle: RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x
    DOI: 10.1016/j.ecosys.2023.101166
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S093936252300105X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ecosys.2023.101166?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Campbell, John Y. & Hentschel, Ludger, 1992. "No news is good news *1: An asymmetric model of changing volatility in stock returns," Journal of Financial Economics, Elsevier, vol. 31(3), pages 281-318, June.
    2. Ryan Kruger & Francois Toerien & Iain MacDonald, 2012. "Nonlinear Serial Dependence in Share Returns on the Johannesburg Stock Exchange," The African Finance Journal, Africagrowth Institute, vol. 14(2), pages 64-84.
    3. Benoit Mandelbrot, 1967. "The Variation of Some Other Speculative Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 393-393.
    4. Anatolyev, Stanislav, 2009. "Nonparametric Retrospection and Monitoring of Predictability of Financial Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 149-160.
    5. Okorie, David Iheke & Lin, Boqiang, 2021. "Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    6. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).
    7. Ankita Mishra & Vinod Mishra & Russell Smyth, 2015. "The Random-Walk Hypothesis on the Indian Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(5), pages 879-892, September.
    8. Quinton Morris & Gary Van Vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.
    9. Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997. "Evolving Market Efficiency with an Application to Some Bulgarian Shares," Economic Change and Restructuring, Springer, vol. 30(2), pages 75-90, May.
    10. Glener de Almeida Dourado & Benjamin Miranda Tabak, 2014. "Testing the Adaptive Markets Hypothesis for Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(4), pages 517-553.
    11. Rockinger, Michael & Urga, Giovanni, 2000. "The Evolution of Stock Markets in Transition Economies," Journal of Comparative Economics, Elsevier, vol. 28(3), pages 456-472, September.
    12. Mobarek, Asma & Fiorante, Angelo, 2014. "The prospects of BRIC countries: Testing weak-form market efficiency," Research in International Business and Finance, Elsevier, vol. 30(C), pages 217-232.
    13. Cajueiro, Daniel O & Tabak, Benjamin M, 2004. "The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 521-537.
    14. Michael A. Noakes & Kanshukan Rajaratnam, 2016. "Testing market efficiency on the Johannesburg Stock Exchange using the overlapping serial test," Annals of Operations Research, Springer, vol. 243(1), pages 273-300, August.
    15. Jiang, Jinjin & Li, Haiqi, 2020. "A new measure for market efficiency and its application," Finance Research Letters, Elsevier, vol. 34(C).
    16. Wiston Adrian Risso, 2009. "The informational efficiency: the emerging markets versus the developed markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 485-487.
    17. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
    18. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    19. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    20. Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
    21. Mirzaee Ghazani, Majid & Khalili Araghi, Mansour, 2014. "Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange," Research in International Business and Finance, Elsevier, vol. 32(C), pages 50-59.
    22. Biswabhusan Bhuyan & Subhamitra Patra & Ranjan Kumar Bhuian, 2020. "Market Adaptability and Evolving Predictability of Stock Returns: An Evidence from India," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(4), pages 605-619, December.
    23. Subrata Kumar Mitra & Manojit Chattopadhyay & Parikshit Charan & Jaslene Bawa, 2017. "Identifying periods of market inefficiency for return predictability," Applied Economics Letters, Taylor & Francis Journals, vol. 24(10), pages 668-671, June.
    24. Zalewska-Mitura, Anna & Hall, Stephen G., 1999. "Examining the first stages of market performance: a test for evolving market efficiency," Economics Letters, Elsevier, vol. 64(1), pages 1-12, July.
    25. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.
    26. Ito, Mikio & Sugiyama, Shunsuke, 2009. "Measuring the degree of time varying market inefficiency," Economics Letters, Elsevier, vol. 103(1), pages 62-64, April.
    27. B. Bogdanova & I. Ivanov, 2014. "Adaptive and relative efficiency of stock markets from Southeastern Europe: a wavelet approach," Applied Financial Economics, Taylor & Francis Journals, vol. 24(10), pages 705-722, May.
    28. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    29. Timotej Jagric & Boris Podobnik & Marko Kolanovic, 2005. "Does the Efficient Market Hypothesis Hold?: Evidence from Six Transition Economies," Eastern European Economics, Taylor & Francis Journals, vol. 43(4), pages 79-103, August.
    30. Hiremath, Gourishankar S & Kumari, Jyoti, 2014. "Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India," MPRA Paper 58378, University Library of Munich, Germany.
    31. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    32. Kian‐Ping Lim & Robert Brooks, 2011. "The Evolution Of Stock Market Efficiency Over Time: A Survey Of The Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 69-108, February.
    33. Keith Jefferis & Graham Smith, 2005. "The Changing Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 73(1), pages 54-67, March.
    34. Xiao‐Ming Li, 2003. "China: Further Evidence on the Evolution of Stock Markets in Transition Economies," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(3), pages 341-358, August.
    35. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Maria Kulikova & Gennady Kulikov, 2023. "Estimation of market efficiency process within time-varying autoregressive models by extended Kalman filtering approach," Papers 2310.04125, arXiv.org.
    2. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.
    3. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    4. Kovačić, Zlatko, 2007. "Forecasting volatility: Evidence from the Macedonian stock exchange," MPRA Paper 5319, University Library of Munich, Germany.
    5. Al-Shboul, Mohammad & Alsharari, Nizar, 2019. "The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 119-135.
    6. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
    7. Madhusudan Karmakar, 2007. "Asymmetric Volatility and Risk-return Relationship in the Indian Stock Market," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 8(1), pages 99-116, January.
    8. Siddique, Maryam, 2023. "Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange," OSF Preprints 9b5dx, Center for Open Science.
    9. Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
    10. Awartani, Basel M.A. & Corradi, Valentina, 2005. "Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries," International Journal of Forecasting, Elsevier, vol. 21(1), pages 167-183.
    11. Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2010. "Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 460-470, June.
    12. Ender Su & John Bilson, 2011. "Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3891-3905.
    13. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
    14. Alistair Mees & Berndt Pilgram, 2000. "Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility," Econometric Society World Congress 2000 Contributed Papers 1162, Econometric Society.
    15. Mehmet Sahiner, 2022. "Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods," SN Business & Economics, Springer, vol. 2(10), pages 1-74, October.
    16. Chee Wooi Hooy & Hui Boon Tan & Annuar Md Nassir, 2004. "Risk Sensitivity of Bank Stocks in Malaysia: Empirical Evidence Across the Asian Financial Crisis," Asian Economic Journal, East Asian Economic Association, vol. 18(3), pages 261-276, September.
    17. Jorge Caiado, 2004. "Modelling And Forecasting The Volatility Of The Portuguese Stock Index Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 9(1), pages 3-21.
    18. Hayo, Bernd & Kutan, Ali M., 2002. "The impact of news, oil prices, and international spillovers on Russian financial markets," ZEI Working Papers B 20-2002, University of Bonn, ZEI - Center for European Integration Studies.
    19. Subrata Roy, 2020. "Stock Market Asymmetry and Investors’ Sensation on Prime Minister: Indian Evidence," Jindal Journal of Business Research, , vol. 9(2), pages 148-161, December.
    20. Subrata ROY, 2021. "Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(627), S), pages 259-284, Summer.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecosys:v:48:y:2024:i:1:s093936252300105x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://edirc.repec.org/data/osteide.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.