Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis

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• 作者：Walid Mensi^a ; ^b ; ^{walid.mensi@fsegt.rnu.tn} ; Aviral Kumar Tiwari^c ; ^d ; ^{aviral.eco@gmail.com} ; Seong-Min Yoon^e ; ^{smyoon@pusan.ac.kr}
• 关键词：MF-DFA ; Hurst exponent ; Efficiency ; Islamic stock market ; Sector index ; Global financial crisis
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：135-146
• 全文大小：3503 K
• 卷排序：471

文摘

The MF-DFA method is used to evaluate 10 sector indices of Islamic stock markets. This paper assesses the effects of the GFC on the weak-form EMH. The price dynamics of Islamic stock markets are multifractal in nature. Islamic stock markets become less efficient after the GFC. Islamic markets show high long-term efficiency but moderate short-term efficiency.