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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | https://arxiv.org/abs/2403.05233 |
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| _version_ | 1866916152294244352 |
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| author | Kulikova, Maria V. Taylor, David R. Kulikov, Gennady Yu. |
| author_facet | Kulikova, Maria V. Taylor, David R. Kulikov, Gennady Yu. |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_05233 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Evolving efficiency of the BRICS markets Kulikova, Maria V. Taylor, David R. Kulikov, Gennady Yu. Optimization and Control 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. |
| title | Evolving efficiency of the BRICS markets |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2403.05233 |