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

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

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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: http://hal-audencia.archives-ouvertes.fr/hal-01526483
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Published in SSRN Electronic Journal, 2017, 〈10.2139/ssrn.2611472〉

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01526483

DOI: 10.2139/ssrn.2611472

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