Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis
Aviral Tiwari () and
Seong-Min Yoon ()
Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 135-146
This paper estimates the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities). The results based on the multifractal detrended fluctuation analysis (MF-DFA) approach show time-varying efficiency for the sectoral stock markets. Moreover, we find that they tend to show high efficiency in the long term but moderate efficiency in the short term, and that these markets become less efficient after the onset of the global financial crisis. These results have several significant implications in terms of asset allocation for investors dealing with Islamic markets.
Keywords: MF-DFA; Hurst exponent; Efficiency; Islamic stock market; Sector index; Global financial crisis (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:471:y:2017:i:c:p:135-146
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