 Efficient Markets Hypothesis in Canada: a comparative study between Islamic and Conventional stock markets MPRA Paper from University Library of Munich, Germany Abstract: In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, Sollis and Kruse) unit root tests. The informational market efficiency is examined in the Islamic and conventional markets in Canada. It aims to investigate whether Islamic market would be more or less efficient than the conventional one. Findings indicate that both Conventional Canadian Stock Index (CCSI) and Dow Jones Islamic Canadian Price Index (DJICPI) show characteristics of random walk indicating that the stock markets are efficient. The major policy implications is that in this country (Canada), fund managers and investors cannot enjoy excess returns to their investment. Keywords: Dow Jones Islamic Market (DJIM); Conventional Canadian Stock Index, Efficient-Market Hypothesis (EMH), linear and nonlinear unit root tests, KSS, Sollis, CHLL (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:103175 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.