Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
Gazi Uddin (),
Jose Areola Hernandez,
Syed Jawad Hussain Shahzad () and
Seong-Min Yoon ()
International Review of Financial Analysis, 2018, vol. 56, issue C, 167-180
This study investigates the efficiency of conventional and Islamic stock markets and their diversification potential by using multifractal de-trended fluctuation analysis (MF-DFA), wavelet squared coherence (WTC) and wavelet Value-at-Risk (VaR). Evidence from regional and country-level markets indicates Islamic stocks are less efficient than conventional ones in the short term, however more efficient in the medium term. Conventional stocks in the UK, Japan, and emerging markets are more efficient than the Islamic ones in the long term, whereas those from the US and Europe are less efficient. The wavelet VaR shows that conventional stock markets are at least as risky as the Islamic ones.
Keywords: Time-varying efficiency; Market efficiency; Integration; Decoupling; Diversification benefits (search for similar items in EconPapers)
JEL-codes: C58 G01 G14 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:56:y:2018:i:c:p:167-180
Access Statistics for this article
International Review of Financial Analysis is currently edited by B.M. Lucey
More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().