The purpose of this paper is to investigate the effects of financial crisis on the trading behavior of BRIC stock markets. The paper employs the ARFIMA-FIGARCH framework to examine the long memory in equity returns and volatilities and to assess the predictable nature of the financial time series data during the global financial crisis. The research identifies the appropriate prediction models under ARFIMA-FIGARCH framework for the squared returns of the BRIC countries. It also investigates whether there are differences in duration or reaction time across BRIC countries. The return and volatility exhibit a predictable component for all BRIC countries. We have also found that statistically there are significant differences in reaction time for squared returns, which is a measure for volatility, during the financial crisis. The empirical evidence exhibits a significant difference in reaction time across the BRIC countries.