Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
Olivier Darné and
Jae Kim ()
Additional contact information
Amélie Charles: Audencia Business School - Audencia Business School
Post-Print from HAL
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: Return predictability; Wild bootstrap; Islamic indices; Market eﬃciency; Martingale diﬀerence hypothesis (search for similar items in EconPapers)
Note: View the original document on HAL open archive server: http://hal-audencia.archives-ouvertes.fr/hal-01579718
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Published in International Economics/Economie Internationale, 2017, 151, pp.100 - 112. 〈10.1016/j.inteco.2017.05.002〉
Downloads: (external link)
Journal Article: Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01579718
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().