Are Islamic stock markets efficient? A time-series analysis

Jawadi, Fredj; Jawadi, Nabila; Cheffou, Abdoulkarim Idi

doi:10.1080/00036846.2014.1000535

Cited by 49 publications

(25 citation statements)

References 19 publications

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“…In this paper, we found that Singapore, which is known as a developed market, is not necessarily better than emerging markets that are compared in this study. This is not consistent with Jawadi et al who found that developed Islamic stock market is better in efficiency [15]. More than that, the full period results in this study contrast with Guidi and Gupta (2013) who found that the conventional stock market in Singapore and Thailand is more efficient compared to Malaysia and Indonesia.…”

Section: Discussioncontrasting

confidence: 99%

“…The conventional stock market in Indonesia and Malaysia found to be inefficient during pre-crisis and post-crisis periods while Singapore and Thailand, on the contrary, found their efficiency after the crisis. Other studies that focus on Islamic stock using index level data found that Islamic stock in an emerging market is less efficient compared to the Islamic stock in the developed market [15]. Different from previous studies, Arshad focuses on individual market of each country which are members of OIC and found that Malaysia and Indonesia have a sufficiently good level of efficiency compared to other members [14].…”

Section: Literature Review a Mispricing In Islamic Stockmentioning

confidence: 89%

“…The efficiency of the Islamic stock market has become a concern for researchers. Some studies that already held focus about Islamic stock market efficiency include research about the efficiency of Islamic stock market in Organization of Islamic Corporation (OIC) [14], comparison efficiency of Islamic stock market in emerging and developed market [15], and comparison of efficiency during pre-crisis and post-crisis period [16]. However, the methodology that is used is still limited to return predictability by past return, which is not ideal and less scientific compared to asset pricing model methodology [3].…”

Section: Introductionmentioning

confidence: 99%

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Mispricing on Islamic Stock Markets in ASEAN Countries

Prilitaningtyas¹,

Prasetyo²

2019

Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)

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The purpose of this study is to detect any mispricing on Islamic stock in four countries which are the founding fathers of ASEAN (Indonesia, Malaysia, Singapore, and Thailand). Three-factor Asset Pricing Model [1] is employed in this study with daily individual stock price from June 2005 until December 2017, and later categorized into 25 portfolios based on their size and book-to-market equity. This study found no evidence of mispricing in Indonesia and Malaysia so that these Islamic stock markets are efficient. Different evidence was found in Singapore and Thailand as in those Islamic stock markets significant mispricing can be found in Thailand Islamic Stock Market and marginally significant mispricing in Singapore Islamic Stock Market, which indicates those markets are not efficient. Moreover, this study also found that Financial Crisis 2008 only has a significant effect in Indonesia and Thailand Islamic Stock Market. This paper gives new insight of Islamic Stock Market Efficiencies by focusing on Islamic stock in ASEAN which is a region dominated by emerging markets and this study also used the daily stock price of an individual stock and not index level data.

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Section: Discussioncontrasting

confidence: 99%

Section: Literature Review a Mispricing In Islamic Stockmentioning

confidence: 89%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Mispricing on Islamic Stock Markets in ASEAN Countries

Prilitaningtyas¹,

Prasetyo²

2019

Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)

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“…Mensi et al (2017) studied ten sectoral Islamic indices and found efficiency levels to be time-varying. Thus, the efficiency of the Islamic market was seldom studied and provided controversial results (Jawadi et al, 2015). These inconclusive results regarding the efficiency of Islamic markets motivated to probe Islamic stock markets further.…”

Section: Literature Reviewmentioning

confidence: 99%

Testing the Weak Form State of Market Efficiency: An Empirical Evidence of Shar¯ı‘ah Compliant Index

Hassan

Ahmad

Aftab

2020

J. Islam. bus. manag.

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The Efficient Market Hypothesis (EMH) proposed by Fama is considered a central premise to explain market functioning. Current research tests the stock returns behaviour of Sharī'ah-compliant Karachi Stock Exchange Meezan Index (KMI 30) under weak form efficiency. Based on the nature of data, i.e. time series, both linear and non-linear techniques are employed to assess market efficiency. The study results portray that KMI-30 is an inefficient market, and there is dependence in the series.

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“…Despite growing interest in Islamic finance, empirical studies that examined the return predictability of Islamic portfolios are not extensive. 2 To the best of our knowledge, only a few studies examine the weak form of the EMH for the Islamic indices (Hassan, 2002;El Khalichi et al, 2014;Rizvi et al, 2014;Jawadi et al, 2015). However, these studies have not not adopted time-varying measures of return predictability to evaluate the martingale difference hypothesis (MDH), except for the study of Sensoy et al (2015) who implement a time-varying analysis with a rolling sample by applying the permutation entropy approach.…”

Section: Introductionmentioning

confidence: 99%

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

Charles

Darné

Kim³

2015

SSRN Journal

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International audienceThis 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 period

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Are Islamic stock markets efficient? A time-series analysis

Cited by 49 publications

References 19 publications

Mispricing on Islamic Stock Markets in ASEAN Countries

Mispricing on Islamic Stock Markets in ASEAN Countries

Testing the Weak Form State of Market Efficiency: An Empirical Evidence of Shar¯ı‘ah Compliant Index

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

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