• Login
    View Item 
    •   DSpace Home
    • School of Business Administration (SBA)
    • Department of Finance
    • View Item
    •   DSpace Home
    • School of Business Administration (SBA)
    • Department of Finance
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices

    Thumbnail
    View/ Open
    A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices.pdf (579.3Kb)
    Date
    2015
    Author
    Al-Khazali, Osamah
    Leduc, Guillaume
    Alsayed, Mohammad Saleh
    Advisor(s)
    Unknown advisor
    Type
    Peer-Reviewed
    Article
    Published version
    Metadata
    Show full item record
    Abstract
    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.
    DSpace URI
    http://hdl.handle.net/11073/16665
    External URI
    https://doi.org/10.1080/1540496X.2014.998572
    Collections
    • Department of Finance
    • Department of Mathematics and Statistics

    Browse

    All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsCollege/DeptArchive ReferenceSeriesThis CollectionBy Issue DateAuthorsTitlesSubjectsCollege/DeptArchive ReferenceSeries

    My Account

    LoginRegister

    Statistics

    View Usage Statistics

    DSpace software copyright © 2002-2016  DuraSpace
    Submission Policies | Terms of Use | Takedown Policy | Privacy Policy | About Us | Contact Us | Send Feedback

    Return to AUS
    Theme by 
    Atmire NV