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Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis

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  • Bouoiyour, Jamal
  • Selmi, Refk
  • Wohar, Mark E.

Abstract

In this paper, we use the methods of Multifractal Detrended Fluctuation Analysis (MF-DFA) and DFA based on generalized Hurst exponents to compare the relative efficiency between short- and long-run horizons and small and large fluctuations of emerging and developed Islamic stock markets. We find that the efficiency of Islamic stock markets is time varying. Both the developed and the emerging Islamic stock markets seem to include some inefficient forms in the short-run. We also show that emerging Islamic stock markets are less efficient than developed Islamic markets. Last but not least, the short-term (long-term) behavior of the developed (emerging) Islamic stock market is found to be persistent while the long-term (short-term) behavior is anti-persistent.

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  • Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
    • Handle: RePEc:eee:finlet:v:26:y:2018:i:c:p:100-105
    DOI: 10.1016/j.frl.2017.12.008
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    More about this item

    Keywords

    Emerging Islamic stock market; Developed Islamic stock market; Efficient market hypothesis; Multifractal detrended fluctuation analysis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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