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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Abstract
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 |
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Journal or Publication Title: | Physica A |
Volume: | 503 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 16 Dec 2019 07:08 |
Last Modified: | 16 Dec 2019 07:08 |
URI: | https://repofeb.undip.ac.id/id/eprint/213 |