An Empirical Analysis of Anomalies in BRICS Currency Markets: Implications for Emerging Economies

Despite deepening integration among BRICS economies, their foreign exchange (FX) markets continue to exhibit persistent inefficiencies and anomalies that challenge the foundational assumptions of the Efficient Market Hypothesis (EMH). These inefficiencies have significant implications for exchange rate predictability, financial stability, and monetary policy in emerging economies. This study aims to systematically identify, evaluate, and compare multiple currency market anomalies—such as calendar effects, momentum patterns, mean-reversion, and behavioral mispricing—across BRICS nations. It also seeks to understand the broader policy consequences of these patterns in the context of evolving macroeconomic regimes. Drawing on daily exchange rate data from Bloomberg, CEIC, and central banks between 2010 and 2024, the study applies a multi-method econometric framework. This includes dummy-variable regressions, runs tests, Ljung-Box Q-statistics, GARCH and EGARCH models for volatility analysis, and event study techniques. Panel data approaches and structural break tests further support cross-country comparison and time-series robustness. Key findings indicate that Brazil and South Africa exhibit strong momentum and calendar anomalies, while India displays a mix of momentum and mean-reversion. The Russian ruble shows high sensitivity to geopolitical shocks, manifesting in overreaction behavior, whereas China’s managed currency regime suppresses most anomalies. Volatility clustering and asymmetric effects are pronounced in RUB and ZAR. These findings challenge weak-form EMH and underscore the relevance of behavioral finance. They suggest that policymakers in emerging markets should strengthen communication strategies, regulatory frameworks, and hedging mechanisms to mitigate currency risk and improve market efficiency.

• Publication year

  2025

• Venue

  International Journal For Multidisciplinary Research

• Publication date

  2025-12-04

• Fields of study

  Not labeled

• Identifiers
  DOI 10.36948/ijfmr.2025.v07i06.62006
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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