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Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎

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  • neifar, malika

Abstract

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, ‎Sollis and Kruse) unit root tests. The informational market efficiency is examined in the ‎Islamic and conventional markets in Canada. It aims to investigate whether Islamic market ‎would be more or less efficient than the conventional one. Findings indicate that both ‎Conventional Canadian Stock Index (CCSI) and Dow Jones Islamic Canadian Price Index ‎‎(DJICPI) show characteristics of random walk indicating that the stock markets are efficient. ‎The major policy implications is that in this country (Canada), fund managers and investors ‎cannot enjoy excess returns to their investment. ‎

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  • neifar, malika, 2020. "Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎," MPRA Paper 103175, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:103175
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    More about this item

    Keywords

    Dow Jones Islamic Market (DJIM); Conventional Canadian Stock Index; Efficient-Market ‎Hypothesis (EMH); linear and nonlinear unit root tests; KSS; Sollis; CHLL‎;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • 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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