This study aims to
test the weak-form efficiency of the stock markets of Brazil, Russia, India,
China and South Africa (BRICS). This study uses daily stock indices returns of BRICS
for the period 2000 to 2018 sub-dividing as pre-crisis, crisis, and post-crisis
periods. Here we employ parametric as well as nonparametric tests for testing
efficiency. The results of this study show that the efficiency is indeed
time-varying and important observation is that the results obtained from serial
correlation test, Ljung box test and runs test for the crisis period show that
all the markets demonstrate weak form efficiency behavior. However, the results
of Hurst exponent shows that only Russian market is efficient among these BRICS
markets for the whole sample period.
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