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Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
ESC Rennes Sch Business, France.
Montpellier Business Sch, France.
Pusan Natl Univ, South Korea.
2018 (English)In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 56, p. 167-180Article in journal (Refereed) Published
Abstract [en]

This study investigates the efficiency of conventional and Islamic stock markets and their diversification potential by using multifractal de-trended fluctuation analysis (MF-DFA), wavelet squared coherence (WTC) and wavelet Value-at-Risk (VaR). Evidence from regional and country-level markets indicates Islamic stocks are less efficient than conventional ones in the short term, however more efficient in the medium term. Conventional stocks in the UK, Japan, and emerging markets are more efficient than the Islamic ones in the long term, whereas those from the US and Europe are less efficient. The wavelet VaR shows that conventional stock markets are at least as risky as the Islamic ones.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE INC , 2018. Vol. 56, p. 167-180
Keywords [en]
Time-varying efficiency; Market efficiency; Integration; Decoupling; Diversification benefits
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-145744DOI: 10.1016/j.irfa.2018.01.008ISI: 000426086200013OAI: oai:DiVA.org:liu-145744DiVA, id: diva2:1192526
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation; Ministry of Education of the Republic of Korea; National Research Foundation of Korea [NRF-2017S1A5B8057488]

Available from: 2018-03-22 Created: 2018-03-22 Last updated: 2018-03-22

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Uddin, Gazi Salah
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CiteExportLink to record
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Citation style
  • apa
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  • vancouver
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  • Other style
More styles
Language
  • de-DE
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  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf