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dc.contributor.authorAl-Khazali, Osamah
dc.contributor.authorLeduc, Guillaume
dc.contributor.authorAlsayed, Mohammad Saleh
dc.date.accessioned2020-06-02T09:14:47Z
dc.date.available2020-06-02T09:14:47Z
dc.date.issued2015
dc.identifier.citationAl-Khazali, Osamah, Guillaume Leduc, and Mohammad Saleh Alsayed. "A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices." Emerging Markets Finance and Trade 52, no. 7 (2016): 1587-1605. doi: 10.1080/1540496X.2014.998572en_US
dc.identifier.issn1558-0938
dc.identifier.urihttp://hdl.handle.net/11073/16665
dc.description.abstractThis 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.en_US
dc.language.isoen_USen_US
dc.publisherTaylor & Francis Onlineen_US
dc.relation.urihttps://doi.org/10.1080/1540496X.2014.998572en_US
dc.subjectIslamic stock indicesen_US
dc.subjectEfficient marketen_US
dc.subjectRandom walk hypothesisen_US
dc.subjectMartingale difference hypothesisen_US
dc.titleA Market Efficiency Comparison of Islamic and Non-Islamic Stock Indicesen_US
dc.typePeer-Revieweden_US
dc.typeArticleen_US
dc.typePublished versionen_US
dc.identifier.doi10.1080/1540496X.2014.998572


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