Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis

Jamal Bouoiyour (), Refk Selmi and Mark Wohar ()

Finance Research Letters, 2018, vol. 26, issue C, 100-105

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.

Keywords: Emerging Islamic stock market; Developed Islamic stock market; Efficient market hypothesis; Multifractal detrended fluctuation analysis (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:100-105

DOI: 10.1016/j.frl.2017.12.008

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