Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
نویسندگان
چکیده
منابع مشابه
Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices
This paper analyzes the degree of return predictability (or weak-form informational efficiency) of Dow Jones Islamic and conventional size and sector-indices using the data from 1996 to 2013. Employing the automatic portmanteau and variance ratio tests for the martingale difference hypothesis of asset returns, we find that all Islamic and conventional sub-index returns have been predictable in ...
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a r t i c l e i n f o The Dow Jones Islamic Market indices (DJIMI) are constructed by screening out stocks that are incompatible with Islam's prohibition of interest and certain lines of business. However, as a blunt instrument, the interest rate can affect discounted cash flows of any firm, even a firm with no financial leverage. This study reveals that the aggregate portfolio of Islamic stock...
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The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of Islamic Sharia rules. In this light, we investigate the statistical properties of the Dow Jones Islamic S...
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ژورنال
عنوان ژورنال: International Economics
سال: 2017
ISSN: 2110-7017
DOI: 10.1016/j.inteco.2017.05.002