TY - JOUR
T1 - Stock Market Efficiency of the BRICS Countries Pre-, During, and Post Covid-19 Pandemic
T2 - A Multifractal Detrended Fluctuation Analysis
AU - Moudud-Ul-Huq, Syed
AU - Rahman, Md Shahriar
N1 - Publisher Copyright:
© The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2024.
PY - 2024/5/5
Y1 - 2024/5/5
N2 - In this study, we applied the multifractal detrended fluctuation analysis model to compare the multifractal characteristics of five BRICS stock markets over three different periods, using current financial information through July 2022. According to the findings, multifractal characteristics are present in all stock market returns. We discover long-term correlations in stock index returns, arguing the notion that the stock markets are inefficient and have not yet reached a mature market development following COVID-19. The Chinese stock index has been the most effective throughout the pandemic, while the Russian and Indian stock markets are the least efficient. We also used the GARCH(1,1) model, which demonstrates India's efficiency during the COVID-19 pandemic. Additional findings align with the MFDFA findings. The paper's findings are relevant to investors seeking investment opportunities on these stock exchanges and policymakers working to implement institutional reforms to boost stock market efficiency and promote the financial markets' long-term sustainability.
AB - In this study, we applied the multifractal detrended fluctuation analysis model to compare the multifractal characteristics of five BRICS stock markets over three different periods, using current financial information through July 2022. According to the findings, multifractal characteristics are present in all stock market returns. We discover long-term correlations in stock index returns, arguing the notion that the stock markets are inefficient and have not yet reached a mature market development following COVID-19. The Chinese stock index has been the most effective throughout the pandemic, while the Russian and Indian stock markets are the least efficient. We also used the GARCH(1,1) model, which demonstrates India's efficiency during the COVID-19 pandemic. Additional findings align with the MFDFA findings. The paper's findings are relevant to investors seeking investment opportunities on these stock exchanges and policymakers working to implement institutional reforms to boost stock market efficiency and promote the financial markets' long-term sustainability.
UR - http://www.scopus.com/inward/record.url?scp=85192106675&partnerID=8YFLogxK
U2 - 10.1007/s10614-024-10607-3
DO - 10.1007/s10614-024-10607-3
M3 - Article
AN - SCOPUS:85192106675
SN - 0927-7099
JO - Computational Economics
JF - Computational Economics
ER -