Economics at your fingertips  

Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices

Amélie Charles, Olivier Darné and Jae Kim ()
Additional contact information
Amélie Charles: Audencia Business School

Post-Print from HAL

Abstract: This paper analyzes the degree of return predictability (or weak-form informational efficiency) of Dow Jones Islamic and conventional size and sectorindices 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 portfolio returns have been predictable in a number of periods, consistent with the implications of the adaptive markets hypothesis. Overall, Islamic portfolios 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 Islamic portfolios tend to be more efficient than the conventional ones during crisis periods

Date: 2017
Note: View the original document on HAL open archive server:
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Published in SSRN Electronic Journal, 2017, 〈10.2139/ssrn.2611472〉

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.2139/ssrn.2611472

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2019-04-19
Handle: RePEc:hal:journl:hal-01526483