  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 covers 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.
