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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Abstract
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 |
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Journal or Publication Title: | Finance Research Letters 26 (2018) 100–105 |
Volume: | 26 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 20 Dec 2019 08:03 |
Last Modified: | 20 Dec 2019 08:03 |
URI: | https://repofeb.undip.ac.id/id/eprint/595 |