Dynamic efficiency will enable a reduction in both SRAC and LRAC. Diagram showing dynamic efficiency. Therefore dynamic efficiency is concerned with the optimal rate of innovation and investment to improve production processes which help to reduce the long-run average cost curves. For example, investment in new machines and technology may for exchange rates (with the exception of Turkey). E ciency rankings of both stock markets and exchange rates are presented under the static and dynamic approaches which provide guidance for policy makers and investors. Keywords: Hurst exponent, exchange rate, stock market, e ciency, emerging local stock market returns, exchange rates, the BRICS zone (Brazil, Russia, India, China, and South Africa). The authors have been able to find significant effects between exchange rates and stock market returns by the VAR model, suggesting that exchange rate volatility can affect the performance of a firm or an industrial sector.