Random Walk Hypothesis: An Empirical Comparison of Shari’ah and Non-Shari’ah Capital Markets of Pakistan and China

Muhammad Shehryar (), Furrukh Bashir (), Kashif Raza () and Rashid Ahmad ()
Additional contact information
Muhammad Shehryar: Lecturer, UE Business School, Division of Management and Administrative Sciences, University of Education, Lahore, Pakistan
Furrukh Bashir: Assistant Professor, School of Economics, Bahauddin Zakariya University, Multan, Pakistan
Kashif Raza: Lecturer, Department of Economics, The Islamia University of Bahawalpur, Bahawalnagar Campus, Pakistan
Rashid Ahmad: Assistant Professor, School of Economics, Bahauddin Zakariya University, Multan, Pakistan

iRASD Journal of Economics, 2022, vol. 4, issue 3, 439-447

Abstract: The instant research comparatively determines the weak-form informational efficiency of Shari’ah and corresponding non-Shari’ah equity indices of Pakistan and China by testing the Random Walk Hypothesis. For this purpose, this study employed the Automatic Variance Ratio on the daily index data for the time ranging from 1st July 2009 to 30th June 2018. The findings of the study show that the Shari’ah index of Pakistan (KMI-30) is informational efficient in weak-form but the Shari’ah index of China (FTSE Shariah China Index) is not efficient. On the other hand, as far as the non-Shari’ah indices are concerned, KSE-100 Index (Pakistan) is not weak-form efficient, but the Shanghai Composite Index (China) is efficient. So, it is determined that in Pakistan, the Shari’ah equity market is weak form efficient during the sample period but its counterpart non-Shari’ah equity market is not efficient. Further, in China, the non-Shari’ah stock market is weak-form efficient, but its Shari’ah stock market is not efficient. In the nutshell, it is concluded that the Shari’ah indices are also witnessing efficiency along with non-Shari’ah indices, and Shari’ah indices viz-a-viz Shari’ah stocks can be good option for optimum investment.

Keywords: Shari’ah Stock Indices; Non-Shari’ah Stock Indices; Market Efficiency; Random Walk Hypothesis (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.internationalrasd.org/index.php/joe/article/view/905/568 (application/pdf)
https://journals.internationalrasd.org/index.php/joe/article/view/905 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ani:irdjoe:v:4:y:2022:i:3:p:439-447

DOI: 10.52131/joe.2022.0403.0091

Access Statistics for this article

More articles in iRASD Journal of Economics from International Research Alliance for Sustainable Development (iRASD)
Bibliographic data for series maintained by Dr. Muhammad Abrar ul Haq ().