Efficiency of emerging stock markets: Evidences from “BRICS” stock indices data using nonlinear panel unit root test

Any signals of informational inefficiency in the stock market could help the investors to get large economic gain. In this study we analyze the mean reversion properties of the stock indices of emerging BRICS (Brazil, Russia, India, China and South Africa) countries for the period 2000M1 to 2010M12 using nonlinear panel unit root tests recently developed by Ucar and Omay (2009). The results indicate that these emerging stock indices have a nonlinear data generating process and are stationary. This provides evidences for that the emerging stock markets are not weak form efficient.