A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices
This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, Global, Japanese, UK, and United States. It investigates whether Islamic stock in...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | article |
| Published: |
2015
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/11073/16665 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1864513443785080832 |
|---|---|
| author | Al-Khazali, Osamah |
| author2 | Leduc, Guillaume Alsayed, Mohammad Saleh |
| author2_role | author author |
| author_facet | Al-Khazali, Osamah Leduc, Guillaume Alsayed, Mohammad Saleh |
| author_role | author |
| dc.creator.none.fl_str_mv | Al-Khazali, Osamah Leduc, Guillaume Alsayed, Mohammad Saleh |
| dc.date.none.fl_str_mv | 2015 2020-06-02T09:14:47Z 2020-06-02T09:14:47Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | Al-Khazali, Osamah, Guillaume Leduc, and Mohammad Saleh Alsayed. "A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices." Emerging Markets Finance and Trade 52, no. 7 (2016): 1587-1605. doi: 10.1080/1540496X.2014.998572 1558-0938 http://hdl.handle.net/11073/16665 10.1080/1540496X.2014.998572 |
| dc.language.none.fl_str_mv | en_US |
| dc.publisher.none.fl_str_mv | Taylor & Francis Online |
| dc.relation.none.fl_str_mv | https://doi.org/10.1080/1540496X.2014.998572 |
| dc.subject.none.fl_str_mv | Islamic stock indices Efficient market Random walk hypothesis Martingale difference hypothesis |
| dc.title.none.fl_str_mv | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices |
| dc.type.none.fl_str_mv | Peer-Reviewed Published version info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, Global, Japanese, UK, and United States. It investigates whether Islamic stock indices are more, less, or as efficient as their conventional counterparts. We test four sub-periods of bullish and bearish stock markets, together with the financial meltdown and its recovery, over the period 1997–2012. We use the Escanciano and Lobato’s (2009) automatic portmanteau test (AQ) and Deo’s (2000) test for the MDH. We also apply the automatic variance ratio test (AVR) developed by Choi (1999) and Kim (2009) for the RWH. Over the period from 1997 to 2012, we find that three conventional indices (Europe, Japan, and UK) are efficient, but that none of the Islamic indices are efficient in these markets. During the recent financial crisis, our results indicate slightly more efficiency for the Islamic indices than their conventional counterparts. Our study finds that overall the conventional indices are more efficient than their Islamic counterparts. Nevertheless, during periods of general downturns the Islamic indices have shown the same level of efficiency as their counterparts. Furthermore, it appears that during the last two sub-periods under study, the Islamic indices have moved toward efficiency, displaying the same level of efficiency as their counterparts. |
| format | article |
| id | aus_78775c86c806f9e652b4890e20454df2 |
| identifier_str_mv | Al-Khazali, Osamah, Guillaume Leduc, and Mohammad Saleh Alsayed. "A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices." Emerging Markets Finance and Trade 52, no. 7 (2016): 1587-1605. doi: 10.1080/1540496X.2014.998572 1558-0938 10.1080/1540496X.2014.998572 |
| language_invalid_str_mv | en_US |
| network_acronym_str | aus |
| network_name_str | aus |
| oai_identifier_str | oai:repository.aus.edu:11073/16665 |
| publishDate | 2015 |
| publisher.none.fl_str_mv | Taylor & Francis Online |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | A Market Efficiency Comparison of Islamic and Non-Islamic Stock IndicesAl-Khazali, OsamahLeduc, GuillaumeAlsayed, Mohammad SalehIslamic stock indicesEfficient marketRandom walk hypothesisMartingale difference hypothesisThis article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, Global, Japanese, UK, and United States. It investigates whether Islamic stock indices are more, less, or as efficient as their conventional counterparts. We test four sub-periods of bullish and bearish stock markets, together with the financial meltdown and its recovery, over the period 1997–2012. We use the Escanciano and Lobato’s (2009) automatic portmanteau test (AQ) and Deo’s (2000) test for the MDH. We also apply the automatic variance ratio test (AVR) developed by Choi (1999) and Kim (2009) for the RWH. Over the period from 1997 to 2012, we find that three conventional indices (Europe, Japan, and UK) are efficient, but that none of the Islamic indices are efficient in these markets. During the recent financial crisis, our results indicate slightly more efficiency for the Islamic indices than their conventional counterparts. Our study finds that overall the conventional indices are more efficient than their Islamic counterparts. Nevertheless, during periods of general downturns the Islamic indices have shown the same level of efficiency as their counterparts. Furthermore, it appears that during the last two sub-periods under study, the Islamic indices have moved toward efficiency, displaying the same level of efficiency as their counterparts.Taylor & Francis Online2020-06-02T09:14:47Z2020-06-02T09:14:47Z2015Peer-ReviewedPublished versioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfAl-Khazali, Osamah, Guillaume Leduc, and Mohammad Saleh Alsayed. "A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices." Emerging Markets Finance and Trade 52, no. 7 (2016): 1587-1605. doi: 10.1080/1540496X.2014.9985721558-0938http://hdl.handle.net/11073/1666510.1080/1540496X.2014.998572en_UShttps://doi.org/10.1080/1540496X.2014.998572oai:repository.aus.edu:11073/166652024-08-22T12:02:09Z |
| spellingShingle | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices Al-Khazali, Osamah Islamic stock indices Efficient market Random walk hypothesis Martingale difference hypothesis |
| status_str | publishedVersion |
| title | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices |
| title_full | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices |
| title_fullStr | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices |
| title_full_unstemmed | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices |
| title_short | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices |
| title_sort | A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices |
| topic | Islamic stock indices Efficient market Random walk hypothesis Martingale difference hypothesis |
| url | http://hdl.handle.net/11073/16665 |