Work

Price efficiency in emerging equity markets during recent crises periods: empirical evidence from equity markets in BRICS countries

Year: 2025

Type: article

Abstract: This study examines the impact of increased systematic risk on the efficiency of equity markets in emerging countries, focusing on the BRICS market (Brazil, Russia, India, China, and South Africa). We measure market efficiency by analyzing the spot and futures prices of indices in these markets using the futures-spot arbitrage test over recent crisis periods. Our findings suggest that mispricing existed among the major indices of the BRICS market before the crises, but that the crises exacerbated the extent of mispricing. We also find that there are noteworthy variations amongst the BRICS markets in terms of how market efficiency changed during the downturns, highlighting the need for heterogeneous investment strategies for each individual market. JEL Classification: F15; F22; G14

Source: Review of World Economics

DOI: 10.1007/s10290-025-00611-6

Authors: Seungho Lee, Laura McCann, Ameerabeevi Amanulla

Institution: University of Aberdeen

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,190

OpenAlex ID: W4415522672