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

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.