Adaptive market hypothesis::A comparison of Islamic and conventional stock indices

Abstract

We assess the 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 over time and assess the adaptive market hypothesis over different market conditions. We find that the null is rejected in several 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 in different market conditions, including the financial crisis of 2007–08 and the COVID-19 pandemic.

Publication DOI: https://doi.org/10.1016/j.iref.2023.06.020
Divisions: College of Business and Social Sciences > Aston Business School
College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
Additional Information: Copyright © 2023. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
Publication ISSN: 1059-0560
Last Modified: 11 Oct 2024 07:34
Date Deposited: 25 Jul 2023 14:12
Full Text Link:
Related URLs: https://www.sci ... 1867?via%3Dihub (Publisher URL)
PURE Output Type: Article
Published Date: 2024-01
Published Online Date: 2023-07-13
Accepted Date: 2023-06-22
Authors: Akbar, Muhammad (ORCID Profile 0000-0003-0463-6105)
Ullah, Ihsan
Ali, Shahid
Rehman, Naser

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