金砖五国市场的效率不断提高

IF 2.8 2区经济学 Q1 ECONOMICS

Economic Systems Pub Date : 2024-03-01 DOI:10.1016/j.ecosys.2023.101166

Maria V. Kulikova , David R. Taylor , Gennady Yu. Kulikov

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引用次数: 0

摘要

本文研究了金砖国家弱形式市场效率的时变版本。在采用卡尔曼滤波法的同时，还采用了样本自相关性移动窗口检验法，通过具有同方差和异方差条件方差的适当时变自回归模型来恢复市场效率过程的隐藏动态。月度数据涵盖 1995 年 1 月至 2020 年 12 月，其中包括 2008-2009 年全球金融危机和最近的 COVID-19 衰退。结果显示，所有金砖国家的股票市场在这两个时期都受到了影响，但总体上仍保持了弱式有效，只有中国例外。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Evolving efficiency of the BRICS markets

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 cover 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.

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来源期刊

Economic Systems ECONOMICS-

CiteScore

4.90

自引率

0.00%

发文量

审稿时长

48 days

期刊介绍： Economic Systems is a refereed journal for the analysis of causes and consequences of the significant institutional variety prevailing among developed, developing, and emerging economies, as well as attempts at and proposals for their reform. The journal is open to micro and macro contributions, theoretical as well as empirical, the latter to analyze related topics against the background of country or region-specific experiences. In this respect, Economic Systems retains its long standing interest in the emerging economies of Central and Eastern Europe and other former transition economies, but also encourages contributions that cover any part of the world, including Asia, Latin America, the Middle East, or Africa.