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

Hamidullah Sarwary

doi:10.36948/ijfmr.2025.v07i06.62006

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

Author(s)	Mr. Hamidullah Sarwary
Country	Afghanistan
Abstract	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.
Keywords	Currency Anomalies, BRICS, Exchange Rate Volatility, Behavioral Finance, Market Efficiency, Emerging Markets, GARCH Models
Field	Business Administration
Published In	Volume 7, Issue 6, November-December 2025
Published On	2025-12-04
DOI	https://doi.org/10.36948/ijfmr.2025.v07i06.62006

View / Download PDF File

E-ISSN 2582-2160

doi

CrossRef DOI is assigned to each research paper published in our journal.

IJFMR DOI prefix is
10.36948/ijfmr

Downloads

Research Paper Format Copyright Permission Form and Undertaking Form Cover Page Vol 8 Isu 3 Cover Page Vol 8 Isu 2 Cover Page Vol 8 Isu 2

All research papers published on this website are licensed under Creative Commons Attribution-ShareAlike 4.0 International License, and all rights belong to their respective authors/researchers.

CC-BY-SA

About IJFMR Fees & Payment Current Issue Publication Archive	Submit Research Paper Track Submission Status Publication Guidelines Publication Ethics Peer Review & Plagiarism	Join as a Reviewer Editors & Reviewers Reviewer Referral Program Get Reviewer Membership Certi.	Website/Journal Policies Usage Policy Content Policies Privacy Policy

Contact Us		+91-9687-828-838	editor@ijfmr.com

International Journal For Multidisciplinary Research

A Widely Indexed Open Access Peer Reviewed Multidisciplinary Bi-monthly Scholarly International Journal

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

Share this