Testing Adaptive Market Hypothesis in Global Islamic Stock Markets: Evidence From Markov-Switching Adf Test

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dc.authorid0000-0003-4168-2792
dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorid0000-0001-9027-9532
dc.authorwosidYILDIRIM, Durmuş Çağrı/V-8841-2019
dc.authorwosidCevik, Emrah/K-1967-2019
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidKırcı Çevik, Nüket/AFM-7310-2022
dc.authorwosidBugan, Mehmet Fatih/L-5579-2019
dc.contributor.authorBuğan, Mehmet Fatih
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorÇevik, Nüket Kırcı
dc.contributor.authorYıldırım, Durmuş Çağrı
dc.date.accessioned2022-05-11T14:33:33Z
dc.date.available2022-05-11T14:33:33Z
dc.date.issued2021
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractAlthough 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.
dc.identifier.doi10.28949/bilimname.866724
dc.identifier.endpage449
dc.identifier.issn2148-5860
dc.identifier.issue1en_US
dc.identifier.startpage425
dc.identifier.trdizinid1110419
dc.identifier.urihttps://doi.org/10.28949/bilimname.866724
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7798
dc.identifier.volume44
dc.identifier.wosWOS:000646602900013
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakTR-Dizin
dc.institutionauthorÇevik, Emrah İsmail
dc.institutionauthorÇevik, Nüket Kırcı
dc.institutionauthorYıldırım, Durmuş Çağrı
dc.language.isoen
dc.publisherIlahiyat Bilimleri Arastirma Vakfi
dc.relation.ispartofBilimname
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectIslamic Economy
dc.subjectEfficient Market Hypothesis
dc.subjectAdaptive Market Hypothesis
dc.subjectIslamic Stock Markets
dc.subjectMarkov-Switching ADF
dc.subjectTime-Series
dc.subjectEfficiency
dc.titleTesting Adaptive Market Hypothesis in Global Islamic Stock Markets: Evidence From Markov-Switching Adf Test
dc.typeArticle

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