Testing Adaptive Market Hypothesis in Global Islamic Stock Markets: Evidence From Markov-Switching Adf Test
Yükleniyor...
Dosyalar
Tarih
2021
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Ilahiyat Bilimleri Arastirma Vakfi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Although market efficiency has been extensively examined in the literature, the studies generally focus on conventional stock markets. Since market efficiency is related to a well-functioning market, it is of great importance for the efficient allocation of resources and also providing sustainable economic growth. Market efficiency is not only important for conventional stock markets but also for the Islamic stock market as the Islamic stock markets are gaining prominence. An increase in the scope of Islamic markets worldwide creates the motivation for investigating the efficiency of Islamic stock markets. Hence there is a growing interest in Islamic stock markets. With a limited number of studies that analyze the efficient market hypothesis in Islamic stock markets, this paper aims to examine market efficiency in the global Islamic stock markets via Markov-Switching Augmented Dickey-Fuller (MS-ADF) test. The linear unit root test result shows that the global Islamic stock market indices exhibit random walk properties that are consistent with the Efficient Market Hypothesis. On the other hand, nonlinear test results suggest global Islamic stock markets exhibit two-state regime-switching characteristics. The MS-ADF test results indicate that the world and developed Islamic stock markets are stationary only in the high volatility regime and this finding supports the Adaptive Market Hypothesis. However, the emerging Islamic stock market is found to be stationary in both regimes that are contradictory for weak-form efficiency.
Açıklama
Anahtar Kelimeler
Islamic Economy, Efficient Market Hypothesis, Adaptive Market Hypothesis, Islamic Stock Markets, Markov-Switching ADF, Time-Series, Efficiency
Kaynak
Bilimname
WoS Q Değeri
N/A
Scopus Q Değeri
Cilt
44
Sayı
1
