Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA

Khan, Abbas M; Khan, Muhammad Yar; Khan, Abdul Qayyum; Khan, Majid Jamal; Rahman, Zia Ur

doi:10.1108/jiabr-02-2020-0055

Cited by 11 publications

(8 citation statements)

References 66 publications

(100 reference statements)

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“…[19] So we can see that from 2008 to 2020, the U.S. stock market continued to rise rapidly with the central bank's injection of capital. [20] Since the stock market rises and falls in a positive correlation with the economy, just like where there is a lot of money, especially where there are a lot of rich people, prices will continue to rise, the continues raising of the US stock price is inseparable from the central bank's capital injection. [21] This paper analyzes three reasons why the US stock market had a 12-year bull market from 2008 to 2020.…”

Section: Resultsmentioning

confidence: 99%

Testing the Market Efficiency by LSTM and SVM

Zhang¹

2022

Advances in Economics, Business and Management Research

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As an essential part of risk investment and a microcosm of the national economy, predicting the stock market's change accurately and efficiently becomes extremely important. The purpose of this paper is to evaluate the accuracy of SVM and LSTM models to judge whether the Efficient Markets Hypothesis (EMH) is correct or not by predicting the typical stock indexes of the relatively mature American stock market and the gradually mature Chinese stock market. Therefore, this article applies the Kaggle Data Set to predict the stock price of S&P 500 and SSEC from January 01, 2013 to January 01, 2018 by using both the LSTM model and the SVM model. First, this paper compares the predicted trends with the actual trend respectively. Second, this paper compares the two stocks and concludes the efficiency of markets in different countries. Third, this paper analyzes the influence of different policies on stock market fluctuation to explain the unpredictable change in the stock market. Finally, according to the results, the statistically significant conclusions are drawn that LSTM is more stable and accurate than SVM in the stock indexes prediction and American stock market is more effective than the Chinese stock market. Therefore, relevant forecasters can be more inclined to use LSTM model when making predictions.

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Section: Resultsmentioning

confidence: 99%

Testing the Market Efficiency by LSTM and SVM

Zhang¹

2022

Advances in Economics, Business and Management Research

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“…For instance, El Khamlichi, Sarkar, Arouri, and Teulon (2014) focused on comparatively examining the RWH by employing the Variance Ratio. Similarly, O. M. Al-Khazali et al ( 2016); Alam, Arshad, and Rizvi (2016); Guyot (2011); Jawadi, Jawadi, and Cheffou (2015); Khan et al (2021) , and many other researchers focused on to doing research on market efficiency. In Asian region, several research is also conducted to examine the weak-form efficiency with a certain emphasis on conventional markets but ignored the Shari'ah markets.…”

Section: Literature Reviewmentioning

confidence: 98%

“…In order to survive with the rapid development of the Islamic investment sector as well as to fulfill the investors' requirement, most of the conventional financial institutions including Asian Banks now offer Islamic financial products & services e.g., Citibank, Barclays, First National Bank of Botswana, Afriland First Bank, Bank Danamon, Bank Bukopin, HSBC, Bank Muscat, United Arab Bank, Morgan Stanley Bank, Bank Asia, Merrill Lynch Bank, and Bank Syariah Indonesia. Moreover, many countries over the globe have also introduced Islamic indices specifically in the Asian region for instance: Hassan, Unsal, & Tamer, 2016;Ho, Abd Rahman, Yusuf, & Zamzamin, 2014;Khan, Khan, Khan, Khan, & Rahman, 2021;Khatri, Aqil, & Abro, 2021;Rabbani et al, 2021;Raza Rabbani et al, 2021;Setianto & Abdul Manap, 2015;Shehryar, Abbas, Anser, & Raza, 2022). Thus, the instant study also draws its attention towards Shari'ah products and services to accommodate the investors, policymakers, and another aligned stakeholder for their optimum decisions.…”

Section: Introductionmentioning

confidence: 99%

Random Walk Hypothesis: An Empirical Comparison of Shari’ah and Non-Shari’ah Capital Markets of Pakistan and China

et al. 2022

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The instant research comparatively determines the weak-form informational efficiency of Shari’ah and corresponding non-Shari’ah equity indices of Pakistan and China by testing the Random Walk Hypothesis. For this purpose, this study employed the Automatic Variance Ratio on the daily index data for the time ranging from 1st July 2009 to 30th June 2018. The findings of the study show that the Shari’ah index of Pakistan (KMI-30) is informational efficient in weak-form but the Shari’ah index of China (FTSE Shariah China Index) is not efficient. On the other hand, as far as the non-Shari’ah indices are concerned, KSE-100 Index (Pakistan) is not weak-form efficient, but the Shanghai Composite Index (China) is efficient. So, it is determined that in Pakistan, the Shari’ah equity market is weak form efficient during the sample period but its counterpart non-Shari’ah equity market is not efficient. Further, in China, the non-Shari’ah stock market is weak-form efficient, but its Shari’ah stock market is not efficient. In the nutshell, it is concluded that the Shari’ah indices are also witnessing efficiency along with non-Shari’ah indices, and Shari’ah indices viz-a-viz Shari’ah stocks can be good option for optimum investment.

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“…However, the theory has faced pros and cons. For example, Malkiel (2003); Charfeddine et al (2018); Chu et al (2019) find that stock and other financial markets, such as bond and cryptocurrency, are efficient, while other studies reveal the equity price is not only incorporated with the information in the market but also as a result of psychological and behavioral finance (Shiller 2003;Can and Dizdarlar 2021;Khan et al 2021). The discussion on the theory is still ongoing and has no ultimate conclusion of academic researchers and financial practitioners; therefore, this study contributes to a better understanding of the stock market's return and volatility.…”

Section: Literature Reviewmentioning

confidence: 99%

GARCH (1,1) Models and Analysis of Stock Market Turmoil during COVID-19 Outbreak in an Emerging and Developed Economy

Setiawan

Abdallah

Fekete-Farkas

et al. 2021

JRFM

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COVID-19 pandemic has led to uncertainties in the financial markets around the globe. The pandemic has caused volatilities in the financial market at varying magnitudes, in the emerging versus developed economy. To examine this phenomenon, this study investigates the impact of COVID-19 pandemic on stock market returns and volatility in an emerging economy, i.e., Indonesia, versus developed country, i.e., Hungary, using an event-study approach methodology utilizing GARCH (1,1) model. In this study, the Jakarta Composite Index (JCI) and the b (BUX) data were obtained from Investing and Bloomberg, covering two global events observed within the selected period from 27 September 2006 to 31 August 2021. The data is compared with the stock market volatility data from the global financial crisis in 2007/08. Findings reveal that the recent COVID-19 pandemic had negative stock market returns at a greater magnitude compared to the global financial crisis, in both the emerging and developed economy’s equity market. Stock markets in Indonesia and Hungary have experienced volatility during the crisis. While comparing the result between COVID-19 and the global financial crisis, we found that the volatility on the stock markets is higher in the COVID-19 pandemic than during the global financial crisis. The higher stock market negative returns and volatility during the COVID-19 pandemic triggered the lockdown and limited economic activities, which impacted supply and demand shock. The virus’s propagation and mutation are continually evolving, reminding us that the pandemic is far from over. Developed countries with larger fiscal space seem to find it easier to make responsive policies than countries with a tighter financial budget. Fiscal and monetary policies seem to be a quick solution to stabilize the economy and maintain investor confidence in the Indonesian and Hungarian capital markets. Furthermore, the extension of stock market volatility understanding ensures relevant information for investors, which benefits to mitigate the risk and build sustainable investments of the unprecedented events and enables the promotion of Sustainable Development Goal number 8 (SDG8) to communities, with access to financial products including the stock market, especially during economic and financial uncertainties.

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Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA

Cited by 11 publications

References 66 publications

Testing the Market Efficiency by LSTM and SVM

Testing the Market Efficiency by LSTM and SVM

Random Walk Hypothesis: An Empirical Comparison of Shari’ah and Non-Shari’ah Capital Markets of Pakistan and China

GARCH (1,1) Models and Analysis of Stock Market Turmoil during COVID-19 Outbreak in an Emerging and Developed Economy

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