Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices

Amélie Charles, Olivier Darné and Jae Kim

International Economics, 2017, vol. 151, issue C, 100-112

Abstract: 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.

Keywords: Islamic indices; Market efficiency; Martingale difference hypothesis; Return predictability; Wild bootstrap (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Working Paper: Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices (2017)
Working Paper: Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:151:y:2017:i:c:p:100-112

DOI: 10.1016/j.inteco.2017.05.002

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