Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
This paper analyzes the degree of return predictability (or weak-form informational eﬃciency) of Dow Jones Islamic and conventional size and sector-indices using the data from 1996 to 2013. Employing the automatic portmanteau and variance ratio tests for the martingale diﬀerence hypothesis of asset returns, we ﬁnd that all Islamic and conventional sub-index returns have been predictable in a number of periods, consistent with the implications of the adaptive markets hypothesis. Overall, the Islamic sector-indices exhibit a higher degree of informational eﬃciency than the conventional ones, especially in the Consumer Goods, Consumer Services, Financials and Technology sectors. We also ﬁnd that the Islamic sub-indices tend to be more eﬃcient than the conventional ones during crisis periods.
|Date of creation:||Aug 2017|
|Publication status:||Published in International Economics/Economie Internationale, 2017, 151, pp.100 - 112. <10.1016/j.inteco.2017.05.002>|
|Note:||View the original document on HAL open archive server: http://hal-audencia.archives-ouvertes.fr/hal-01579718|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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