Stock market efficiency: A comparative analysis of Islamic and conventional stock markets

Ali, Sajid and Shahzad, Syed Jawad Hussain and Raza, Naveed and Al-Yahyaee, Khamis Hamed,(2018), Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. , Physica A, UNSPECIFIED

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In this paper, we examine the comparative efficiency of 12 Islamic and conventional stock markets counterparts using multifractal de-trended fluctuation analysis (MF-DFA). The full sample results indicate that developed markets are relatively more efficient, followed by the BRICS’ stock markets. The comparative efficiency analysis shows that almost all the Islamic stock markets excluding Russia, Jordan and Pakistan are more efficient than their conventional counterparts. Implying that Islamic stock markets are new, however the peculiar nature, shari’ah compliant laws and good governance and disclosure mechanisms make them more efficient. Further, our results indicate that the Islamic stock markets’ adjustment to speculative activity is, in fact, higher than their conventional counterparts. The findings of the study may help regulators and policy makers to reduce economic distortions through more effective resource allocation
Keywords : Efficiency Stock markets Islamic stocks MF-DFA Global financial crisis, UNSPECIFIED
Journal or Publication Title: Physica A
Volume: 503
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 16 Dec 2019 07:08
Last Modified: 16 Dec 2019 07:08

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