Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7355735 | International Review of Financial Analysis | 2018 | 14 Pages |
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Gazi Salah Uddin, Jose Areola Hernandez, Syed Jawad Hussain Shahzad, Seong-Min Yoon,