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The role of efficiency of Islamic financial markets and their integration with conventional markets in investment decision making, case study of Malaysia

Author

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  • بن فريحة حسام

    (University of Sidi Bel abbes)

Abstract

تهدف هذه الدراسة إلى تحديد الفرص االستثمارية المتاحة في بورصة ماليزيا من خالل اختبار كفاءة السوق المالي اإلسالمي والتقليدي عند مستوى ضعيف، ومن خالل دراسةدرجةالتكامل فيما بينها للفترة الممتدة من 7102 إلى غاية .7102 حيث خلصت الدراسة إلى كفاءة المؤشرات المدروسة عند المستوى الضعيف وأنه اليمكن للمستثمرين تحقيق مكاسب غير عاديةباالستفادة من البيانات التاريخية،كما أظهرت النتائج أن جميع المؤشرات المدروسة متكاملة فقط على المدى القصير و بالتالي وجود فرص للتنويع االستثماري علىالمدى الطويل This study aims to identify investment opportunities in Bursa Malaysia through testing the weak form efficiency of Islamic and conventional financial markets, and through testing the integration between them using Johansen co-integration test and the Granger causality test for 2017 and 2018. This study demonstrates that indices are efficient, and investors can not realize gains above average using historical data. Results show also that indices are co-integrated only in the short-term, this leads us to say that there are opportunities for investments diversification in the long-term.

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Handle: RePEc:bjm:ijep00:v:4:y:2021:i:2:id:160
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