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Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis

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  • Mensi, Walid
  • Tiwari, Aviral Kumar
  • Yoon, Seong-Min

Abstract

This paper estimates the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities). The results based on the multifractal detrended fluctuation analysis (MF-DFA) approach show time-varying efficiency for the sectoral stock markets. Moreover, we find that they tend to show high efficiency in the long term but moderate efficiency in the short term, and that these markets become less efficient after the onset of the global financial crisis. These results have several significant implications in terms of asset allocation for investors dealing with Islamic markets.

Suggested Citation

  • Mensi, Walid & Tiwari, Aviral Kumar & Yoon, Seong-Min, 2017. "Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 135-146.
    • Handle: RePEc:eee:phsmap:v:471:y:2017:i:c:p:135-146
    DOI: 10.1016/j.physa.2016.12.034
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