 A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemicSyed Ali Raza, Nida Shah and Muhammed Tahir Suleman International Economics, 2024, vol. 177, issue C Abstract: This paper examines the efficiency of DJIM conventional and Islamic sectoral stock markets before and during the Covid-19 period. The study uses both sectoral stock markets' daily data from January 1, 2010, to August 1, 2022, and relies on the multifractal detrended fluctuation analysis (MF-DFA). Firstly, we find that the conventional and Islamic sectoral stock markets are multifractal in the short and long run. Secondly, conventional and Islamic sectoral stock markets are characterized by long-term memory features in small fluctuations. Thirdly, in terms of efficiency before the Covid-19 period, in the Islamic sectoral market, the healthcare sector is the most efficient in the short run, and the financial sector is the most efficient in the long run. During the Covid-19 period, in the conventional sectoral market, the financial sector was the most efficient in the short run, and the utility sector was the most efficient in the long run. Keywords: DJIM islamic markets' efficiency; Covid-19 pandemic; MF-DFA technique (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000756 DOI: 10.1016/j.inteco.2023.100463 Access Statistics for this article International Economics is currently edited by Valerie Mignon and Marcelo Olarreaga More articles in International Economics from Elsevier |
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