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

Muhammad Akbar; Ihsan Ullah; Shahid Ali; Naser Rehman

doi:10.1016/j.iref.2023.06.020

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

Muhammad Akbar, Ihsan Ullah, Shahid Ali, Naser Rehman

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	460-477
Number of pages	18
Journal	International Review of Economics & Finance
Volume	89
Early online date	13 Jul 2023
DOIs	https://doi.org/10.1016/j.iref.2023.06.020
Publication status	Published - Jan 2024

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title = "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.",

author = "Muhammad Akbar and Ihsan Ullah and Shahid Ali and Naser Rehman",

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N2 - 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.

AB - 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.

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DO - 10.1016/j.iref.2023.06.020

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SP - 460

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JO - International Review of Economics & Finance

JF - International Review of Economics & Finance

ER -

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

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