دانلود رایگان مقاله انگلیسی بازده بازار سهام: تجزیه و تحلیل تطبیقی بازارهای سهام اسلامی و سنتی - الزویر 2018

Abstract

In this paper, we examine the comparative efficiency of 12 Islamic and conventional stock markets counterparts using multifractal de-trended fluctuation analysis (MF-DFA). The full sample results indicate that developed markets are relatively more efficient, followed by the BRICS’ stock markets. The comparative efficiency analysis shows that almost all the Islamic stock markets excluding Russia, Jordan and Pakistan are more efficient than their conventional counterparts. Implying that Islamic stock markets are new, however the peculiar nature, shari'ah compliant laws and good governance and disclosure mechanisms make them more efficient. Further, our results indicate that the Islamic stock markets’ adjustment to speculative activity is, in fact, higher than their conventional counterparts. The findings of the study may help regulators and policy makers to reduce economic distortions through more effective resource allocation.

5. Concluding Remarks

In this paper, we examined and compared, empirically, the comparative efficiency of 12 conventional stock markets (Jordan, Malaysia, Pakistan, Turkey, Brazil, Russian, India, China, South Africa, USA, UK and Japan) and their Islamic counterparts in those same states. Data was derived from daily stock returns data from January 1, 2003 until December 31, 2016. The study employs a novel technique of multifractal detrended fluctuation analysis (MF-DFA) to investigate and rank the efficiency of Islamic, BRICS and developed countries’ stock markets as well as their Islamic counterparts.

The results for the complete sample period indicate that the developed markets are relatively more efficient, followed by the BRICS stock markets. Findings for the Islamic countries’ stock markets illustrate that Turkey is the most, while Pakistan is the least, efficient market. Similarly, the Islamic stock markets of developed countries are relatively more efficient, while the Islamic countries’ are the least efficient among those examined. The comparative efficiency analysis of conventional and Islamic stock markets highlights an interesting insight in that almost all the Islamic stock markets excluding Russia, Jordan and Pakistan are more efficient than their conventional counterparts. Interestingly, the results for the first sub-sample indicate higher relative efficiency of the emerging markets of BRICS economies. In addition, Islamic countries’ markets including Turkey and Malaysia ranked higher than the developed markets except Japan. This points toward the effects of improved regulatory mechanisms, enhanced volumes and financial liberalization in the emerging markets of BRICS and Islamic countries, which ultimately led to an increased inflow of international investors. Moreover, the phenomenon of emerging markets’ improved efficiency might be based on the theories proposed by Boutchkova and Megginson (2000), who documented that fast-paced GDP growth rates and privatization led to increased stock market liquidity and capital formation, which, according to the finance theory, are key contributors to the EMH. In contrast to our findings for conventional stock markets, analysis of the Islamic stock markets shows that the developed Islamic stock markets are comparatively more efficient than those found in the emerging markets. The overall relative efficiency analysis of conventional and Islamic stock markets demonstrates that all the Islamic stock markets except Russia and Jordan are more efficient than their conventional counterparts for the first subsample.