Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices

Al‐Khazali, Osamah; Mirzaei, Ali

doi:10.1016/j.intfin.2017.10.001

Cited by 80 publications

(45 citation statements)

References 88 publications

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“…Similarly, various GARCH family models are analysed in rolling windows by Bampinas, Fountas and Panagiotidis [167] to establish that the DOW effect, found in two regional and six national indices and Monday effect found in three national indices, all experienced significant reduction in power when rolling window analyses were carried out. Also, eight Dow Jones Islamic indices were studied by Osamah and Ali [168] using sub-period mean-variance and stochastic dominance analyses and the findings supported varying behaviour of calendar effects in line with the AMH. In addition, Zhang, Yongzen and Jianghong [169], via the application of GARCH model, established the presence of DOW effect in 25 countries (made up of 13 developed and 15 developing markets), the anomalies, which disappear with rolling windows in all except six countries.…”

Section: Time-varying Calendar Anomalies Studiesmentioning

confidence: 83%

“…Similarly, Obalade and Muzindutsi [171] provided supports for time-varying calendar anomalies in African stock markets by applying GARCH family models. Overall, the studies of time-varying AMH are not only few, but many of them (apart from [165,166,168,170,171] who supported AMH), have not supported the presence of calendar anomaly because only a small proportion of the estimated windows or sub-periods confirms the identified anomaly.…”

Section: Time-varying Calendar Anomalies Studiesmentioning

confidence: 99%

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Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Obalade¹,

Muzindutsi²

2021

Emerging Markets

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This chapter reviews empirical studies on weak form of efficiency with the aim of establishing whether the African market is inefficient or adaptive. The reviewed studies are categorised based on their methodological approaches to compare the power of linear and non-linear models in testing for weak-form efficiency. The studies on calendar anomalies, an indication of weak-form inefficiency, are reviewed to assess whether these anomalies are adaptive as portrayed by the relatively recent theory of adaptive market hypothesis (AMH). The scope of reviewed studies is also extended to developed and emerging markets to gain a broad comparison of the findings. This review revealed that non-linear dependence has been revealed in stock returns suggesting that non-linear models are best fit to test for the stock market efficiency. Reviewed studies produced contradictory findings with some supporting and others rejecting weak-form efficiency. Thus, most studies support the AMH, which suggests that market efficiencies and anomalies are time changing. This chapter concludes that most of the existing studies on AMH have been carried out in markets other than Africa, and hence, further empirical studies on the evolving and changing nature of efficiency in African stock markets are recommended.

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Section: Time-varying Calendar Anomalies Studiesmentioning

confidence: 83%

Section: Time-varying Calendar Anomalies Studiesmentioning

confidence: 99%

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Obalade¹,

Muzindutsi²

2021

Emerging Markets

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“…As, according to this theory the, expansionary economic policy is more effective and produces efficient results than fiscal policy (Al-Khazali & Mirzaei, 2017). The expansionary policy helps to increase the stock market performance because it leads to generate economic activities.…”

Section: Literature Review 21 the Theory Of Stock Market Efficiencymentioning

confidence: 92%

Fiscal Policy and Stock Market Efficiency in the USA: An ARDL Bounds Testing Approach

Adams

2020

Journal of Accounting, Business and Finance Research

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The basic aim of this study is to evaluate the market efficiency hypothesis by using the fiscal policy information implemented in the context of the New York Stock Exchange. In order to take into account that the macroeconomic data of a developed country like USA has a limited size and may be governed by structural breaks and inconsistencies this paper proposed the adoption of the ARDL bounds testing approaching in order to effectively evaluate the relationship between the lagged macroeconomic variables and the stock market returns. Also, the use of this technique allows for the evaluation of both short run and long run relationships and associations among the variables. The study uses data from 2008-2018 to investigate the efficiency of the stock market. The results suggest that in the long run the stock prices fully reflect the information issued by the fiscal policy and reflect on the past activities of the fiscal policy as well. In the short run however, the New York stock exchange index S&P 500 reacts differently. The NYSE stock index was found to only efficiently reflect the unexpected news from the fiscal policy. Moreover, the results also show that the prices in terms of oil, production and consumer prices were also found to be correlated with the stock prices. The increase in the consumer prices or inflation and average economic translates in increased profitability for the firms and the increase in the oil prices seems to have a negative impact on the firm profitability

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“…Some past studies on EMH were inconclusive. Some academics allege that tests of the EMH have a significant deficiency, for example, Grossman & Stiglitz (1980), Campbell, Lo, & Mackinlay (1997), Lo (2004) and 2005, Al-Khazali & Mirzaei (2017). Market efficiency is evolving due to changes in market factors such as the government political will, technological advances as stockbrokers' behaviors.…”

Section: Hypotheses Developmentmentioning

confidence: 99%

“…Therefore, investors shall exhibit prudential actions when entering the market due to its destabilization. Increasing volatility in the capital market brings deadly effect to the economy that may lead to financial turbulence (Al-Khazali & Mirzaei, 2017). To mitigate further market deterioration, the government should impose stricter regulation as a form of direct intervention.…”

Section: |mentioning

confidence: 99%

The Contagion Effect of Muslim Street Rallies on Stocks’ Volatility: Is it a Political Risk for Investors?

Adawiyah

Pramuka

2018

Jurnal Keuangan Dan Perbankan

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Muslim street rallies refer to the super-peaceful mass street mobilizations to pressure law enforcement against a blasphemer, the Governor of Jakarta. The Event was organized by the National Movement to Safeguard the Indonesian Muslim Scholar Council's Fatwa (GNPF-MUI) on the 4 th of November (411) and 2 nd of December (212) 2016 at the capital city of Indonesia. We compares the performance of stock returns and shares trading volume on the Indonesian Stock Exchange (IDX) before and after the events. The observations were made stock performance seven days before and after the events. We found that the event had a significant influence on the abnormal return of stocks sold in the Indonesian Stock Exchange during the first event held on November 4 th , but the case was different on the second event. Thus, investors do not consider the event as a political risk for portfolio investment. This study contributes to existing literature as the first to analyze the impact of the super peaceful rally on the pattern of stock price and trading volume in the Indonesian stock market.

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Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices

Cited by 80 publications

References 88 publications

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Are African Stock Markets Inefficient or Adaptive? Empirical Literature

Fiscal Policy and Stock Market Efficiency in the USA: An ARDL Bounds Testing Approach

The Contagion Effect of Muslim Street Rallies on Stocks’ Volatility: Is it a Political Risk for Investors?

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