Title: Stock price randomness of BRICS nations

Authors: Isha Narula

Addresses: Vivekananda Institute of Professional Studies, 18 Outer Ring Road, AU Block, Pitampura, Delhi-110034, India

Abstract: Stock market efficiency has been a debatable topic in financial history. Many researchers believe in the authenticity of random walk theory, whereas, there are few other researchers who believe that market can be predicted for a shorter duration of time. The present study has employed variance ratio test, KS goodness of fit test and run test to check the efficiency of BRICS nations in three eras, namely, pre BRIC era (1st January 2006 to 31st December 2008), post BRIC era (1st January 2008 to 31st December 2010) and post BRICS era (1st January 2010 to 31st December 2015). The overall results of the study prove inefficiency of stock markets in all the eras. Markets illustrate signs of over reaction at various points of time whereas; equilibrium is achieved within a short span of period. Markets display tendencies of mean reversion in all the eras.

Keywords: efficient market hypothesis; random walk theory.

DOI: 10.1504/IJPSPM.2018.090744

International Journal of Public Sector Performance Management, 2018 Vol.4 No.2, pp.231 - 250

Received: 30 May 2017
Accepted: 11 Jul 2017
Published online: 27 Mar 2018 *

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