Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
Gazi Uddin (),
Jose Areola Hernandez,
Syed Jawad Hussain Shahzad () and
Seong-Min Yoon ()
Additional contact information
Jose Areola Hernandez: Rennes School of Business
Post-Print from HAL
This study investigates the efficiency of conventional and Islamic stock markets and their diversification potential by using multifractal de-trended fluctuation analysis (MF-DFA), wavelet squared coherence (WTC) and wavelet Value-at-Risk (VaR). Evidence from regional and country-level markets indicates Islamic stocks are less efficient than conventional ones in the short term, however more efficient in the medium term. Conventional stocks in the UK, Japan, and emerging markets are more efficient than the Islamic ones in the long term, whereas those from the US and Europe are less efficient. The wavelet VaR shows that conventional stock markets are at least as risky as the Islamic ones.
Keywords: Time-varying efficiency; Market efficiency; Integration; Decoupling; Diversification benefits (search for similar items in EconPapers)
Note: View the original document on HAL open archive server: https://hal-esc-rennes.archives-ouvertes.fr/hal-01997844
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Published in International Review of Financial Analysis, Elsevier, 2018, 56, pp.167-180. 〈10.1016/j.irfa.2018.01.008〉
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks (2018)
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-01997844
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().