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

Muhammad Akbar, Ihsan Ullah, Shahid Ali, Naser Rehman

Research output: Contribution to journalArticlepeer-review


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.
Original languageEnglish
Pages (from-to)460-477
Number of pages18
JournalInternational Review of Economics & Finance
Early online date13 Jul 2023
Publication statusPublished - Jan 2024

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Copyright © 2023. This manuscript version is made available under the CC-BY-NC-ND 4.0 license


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