Adaptive Market Hypothesis: A Comparison of Islamic and Conventional Stock Indices

Akbar, Muhammad and Ali, Shahid and Ullah, Ihsan and Rehman, Naser (2021) Adaptive Market Hypothesis: A Comparison of Islamic and Conventional Stock Indices. Working Paper 15. Centre for Applied Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University. (Submitted)

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Abstract

We assess informational efficiency of nine Dow Jones Islamic market indices and their counterpart conventional Morgan Stanley indices using data from 1996 to 2020. We test the martingale difference hypothesis of no return predictability overtime and assess the adaptive market hypothesis over different market conditions. We find that the null is rejected in a number of periods in line with the adaptive market hypothesis for both Islamic and conventional stock indices. However, we do not observe any significant differences in return predictability between Islamic and conventional stocks over different market conditions including financial crisis of 2007-08 and COVID-19 pandemic.

Item Type:	Monograph (Working Paper)
Identification Number:	15
Dates:	Date Event 16 June 2021 UNSPECIFIED
Subjects:	CAH17 - business and management > CAH17-01 - business and management > CAH17-01-07 - finance
Divisions:	Faculty of Business, Law and Social Sciences > College of Accountancy, Finance and Economics > Centre for Accountancy Finance and Economics Faculty of Business, Law and Social Sciences > College of Accountancy, Finance and Economics Faculty of Business, Law and Social Sciences > College of Business, Digital Transformation & Entrepreneurship
Depositing User:	Muhammad Akbar
Date Deposited:	17 Jun 2021 14:09
Last Modified:	20 Jun 2024 12:05
URI:	https://www.open-access.bcu.ac.uk/id/eprint/11788