Key Indicators Influencing BRICS Countries' Stock Price Volatility through Classification Techniques: A Comparative Study NURSEL SELVER RUZGAR Ted Rogers School of Management, Toronto Metropolitan University, 350 Victoria Street, Toronto, ON M5B 2K3, CANADA Abstract: - The stock market is crucial for a country’s economy. It reflects the economic health and investment status of a country. While it has attracted the interest of many scholars, the volatility of stock prices and the indicators influencing this volatility has not been extensively studied, particularly using classification techniques. This study aims to fill this gap in the literature by identifying an effective classification technique to classify the data of BRICS countries using eight classification techniques via WEKA software from 2000 to 2021. Additionally, the study seeks to explore the common indicators that significantly impact stock price volatility in BRICS countries. Findings reveal that tree algorithm-based techniques performed well in terms of accuracy and reliability, although no single common classification technique was identified. Among the eight techniques, Random Tree classified the data of BRICS countries with high accuracy, except for India, where the J48 technique was more efficient. Furthermore, the study indicates that there are no common indicators affecting stock price volatility, as these indicators vary across countries due to the distinct economic and sociopolitical structures of BRICS countries. These findings provide valuable insights for investors and policymakers to better understand and manage stock market dynamics in BRICS countries. Key-Words: - Stock price volatility, Classification, Data Mining, BRICS countries, Indicators, WEKA Received: September 28, 2023. Revised: April 29, 2024. Accepted: May 25, 2024. Published: June 27, 2024. 1 Introduction The stock market plays a crucial role in the country’s economy and is extremely sensitive to social, economic, and political news events around the world. It works as a mirror to reflect the country’s socio-economic and political structures. In existing literature, a myriad of works studied the stock markets of emerging economies in different aspects, however, the indicators influencing the stock price volatility (SPV) have not been extensively explored. To fill the gap in the literature, this study examines indicators influencing the SPV of BRICS countries from 2000 to 2021. As emerging economies, BRICS countries have been selected because they have diverse political, demographic, and economic structures, [1]. The acronym BRICS is the abbreviation of five fast- growing markets in the universe of emerging market economies, [2]. The story of BRICS started in the early 2000s and Goldman Sachs analyst Jim O’Neill coined the term BRIC for the group of Brazil, Russia, India, and China to describe four fast- growing countries, [3]. In 2010, South Africa joined that group and formed the acronym BRICS, [4]. In terms of economic structures, Brazil has a liberalized and market-driven economic structure, Russia, India and China have dominant government- controlled economic structures and South Africa has a driven, structured, and open economic structure, [5]. BRICS countries have more than 40% of world's population, 28% of the world's massive land 24% of the global GDP, and more than 16% of global commerce, [6]. They established the New Development Bank in 2015 to mobilize resources for infrastructure and sustainable development projects, [7]. Being major recipients of foreign investments, they play an important role in the current pattern of global investments, [8]. The rest of the paper is structured as follows: Section 2 presents the literature review; Section 3 describes the data and methodology of the study; Section 4 presents the findings and discussion of empirical results; Section 5 presents the conclusions, research, and recommendations. 2 Literature Review The economic structures of countries, particularly emerging countries such as BRICS, have become a focal point for many scholars. Research on this topic WSEAS TRANSACTIONS on BUSINESS and ECONOMICS DOI: 10.37394/23207.2024.21.122 Nursel Selver Ruzgar E-ISSN: 2224-2899 1494 Volume 21, 2024