Stock market efficiency: A comparative analysis of Islamic and conventional stock markets

Sajid Ali, Syed Jawad Hussain Shahzad, Naveed Raza, Khamis Hamed Al-Yahyaee

Research output: Contribution to journalArticle

12 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)139-153
Number of pages15
JournalPhysica A: Statistical Mechanics and its Applications
Volume503
DOIs
Publication statusPublished - Aug 1 2018

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Market Efficiency
Stock Market
Comparative Analysis
resource allocation
Pakistan
Jordan
regulators
Russian Federation
economics
adjusting
Governance
Disclosure
Regulator
Resource Allocation
Adjustment
Economics
Fluctuations

Keywords

  • Efficiency
  • Global financial crisis
  • Islamic stocks
  • MF-DFA
  • Stock markets

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics

Cite this

Stock market efficiency : A comparative analysis of Islamic and conventional stock markets. / Ali, Sajid; Shahzad, Syed Jawad Hussain; Raza, Naveed; Al-Yahyaee, Khamis Hamed.

In: Physica A: Statistical Mechanics and its Applications, Vol. 503, 01.08.2018, p. 139-153.

Research output: Contribution to journalArticle

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