Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis

Bouoiyour, Jamal and Selmi, Refk and Wohar, Mark E.,(2018), Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis. , Finance Research Letters 26 (2018) 100–105, UNSPECIFIED

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In this paper, we use the methods of Multifractal Detrended Fluctuation Analysis (MF-DFA) and DFA based on generalized Hurst exponents to compare the relative efficiency between short- and long-run horizons and small and large fluctuations of emerging and developed Islamic stock markets. We find that the efficiency of Islamic stock markets is time varying. Both the developed and the emerging Islamic stock markets seem to include some inefficient forms in the short-run. We also show that emerging Islamic stock markets are less efficient than developed Islamic markets. Last but not least, the short-term (long-term) behavior of the developed (emerging) Islamic stock market is found to be persistent while the long-term (short-term) behavior is antipersistent.
Keywords : Emerging Islamic stock market Developed Islamic stock market Efficient market hypothesis Multifractal detrended fluctuation analysis, UNSPECIFIED
Journal or Publication Title: Finance Research Letters 26 (2018) 100–105
Volume: 26
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 20 Dec 2019 08:03
Last Modified: 20 Dec 2019 08:03

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