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@inproceedings{1315745,
author = {Mukhacheva, Galina and Deev, Oleg},
address = {Tallinn},
booktitle = {7th International Conference Economic Challanges in Enlarged Europe},
keywords = {stock market effectivity; detrended fluctuation analysis; emerging markets; BRIC},
howpublished = {paměťový nosič},
language = {eng},
location = {Tallinn},
pages = {1-11},
publisher = {Tallinn University of Technology},
title = {Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis},
year = {2015}
}
TY - JOUR
ID - 1315745
AU - Mukhacheva, Galina - Deev, Oleg
PY - 2015
TI - Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis
PB - Tallinn University of Technology
CY - Tallinn
KW - stock market effectivity
KW - detrended fluctuation analysis
KW - emerging markets
KW - BRIC
N2 - Efficient market hypothesis is a core assumption of financial economics upon which the majority of asset pricing models is built. According to the EMH, the returns within time series present uncorrelated values and are not predictable on a historical basis. The detrended fluctuation analysis is implemented to check the possible correlations in stock returns. Our investigation examines the level of market efficiency of four emerging economies: Brazil, Russia, India and China, known as BRIC countries, for which contradicting evidence exists. Our results have certain implications for the credibility of the efficient market hypothesis and its alternative - adoptive market hypothesis by identifying time-varying market efficiency. The relative increase in efficiency is revealed for Russia, India and China. This paper contributes to the existing literature in two ways. First, it studies the market efficiency in BRIC countries by utilizing non-traditional methodology - detrended fluctuation analysis. Second, it includes sever recent turbulence in the stock market, such as the current subprime financial crisis or Chinese stock bubble.
ER -
MUKHACHEVA, Galina and Oleg DEEV. Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis. In \textit{7th International Conference Economic Challanges in Enlarged Europe}. Tallinn: Tallinn University of Technology, 2015, p.~1-11. ISSN~2382-6797.
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