Analyzing Fundamental Anomalies of Stock Market in BRICS Countries

BRICS countries form a unique group of emerging economies characterized by fast growth, considerable demographic potential, which stipulates a rising impact on global economic processes. Researching fundamental anomalies of stock market in these countries requires specialized methodological approaches taking into account specific features of national finance market. In the research CAPM models, 3-factor and 5-factort Fama French models and Karharta model were used These tools help identify anomalies in the institutional environment in BRICS countries, such as paradox of weak institutes but high growth rates of economy or constant asymmetry between formal regulations and their practical use and simultaneously high level of shadow economy, which envisaged analyzing the quality of institutes through indicators of law supremacy, corruption control and efficiency of state governance and investigation of regulatory features of finance markets and their compliance with international standards. For instance, on Russian, Brazilian, Indian and Chinese markets 3-factor and 5-factorn Fama French model and Karharta model allow us to identify several systematic anomalies: effects of size, cost and high volatility, which do not correspond to fundamental indicators. Researching fundamental anomalies in BRICS countries requires complex methodological tools taking into account specific features of these emerging economies. The combination of traditional econometric methods with new approaches and fintech-tools, data science and net analysis can give an opportunity to identify and analyze systemic deviations in share prices from expected ones in accordance with logics of economic and finance processes.