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An analysis of stock market efficiency: developed vs Islamic stock markets using MF-DFA

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dc.contributor.authorSyed Aun Raza Rizvi
dc.contributor.authorGinanjar Dewandaru
dc.contributor.authorAbul Mansur Mohammed Masih
dc.contributor.authorObiyathulla Ismath Bacha
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T19:25:46Z
dc.date.available2016-06-06
dc.date.available2016-07-25T19:25:46Z
dc.date.disclosure2016-06-10
dc.date.issued2014
dc.description.abstractAn efficient market has been theoretically proven to be a key component for effective and efficient resource allocation in an economy. This paper incorporates econophysics with Efficient Market Hypothesis to undertake a comparative analysis of Islamic and developed countries’ markets by extending the understanding of their multifractal nature. By applying the Multifractal Detrended Fluctuation Analysis (MFDFA) we calculated the generalized Hurst exponents, multifractal scaling exponents and generalized multifractal dimensions for 22 broad market indices. The findings provide a deeper understanding of the markets in Islamic countries, where they have traces of highly efficient performance particularly in crisis periods. A key finding is the empirical evidence of the impact of the ‘stage of market development’ on the efficiency of the market. If Islamic countries aim to improve the efficiency of resource allocation, an important area to address is to focus, among others, on enhancing the stage of market development
dc.identifier.citationRizvi, S. A. R., Dewandaru, G., Bacha, O. I., & and Mohammed Masih, A. M. (2014). An analysis of stock market efficiency: developed vs Islamic stock markets using MF-DFA. Physica A: Statistical Mechanics and its Applications, 407, pp. 86–99.
dc.identifier.doihttps://doi.org/10.1016/j.physa.2014.03.091
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1323
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.rights2014. Elsevier
dc.sourceCRP
dc.subjectIslamic finance
dc.subjectStock market
dc.subjectEfficiency
dc.subjectMultifractal
dc.titleAn analysis of stock market efficiency: developed vs Islamic stock markets using MF-DFA
dc.typeJournal Article
dlc.maintopicIslamic capital markets
dlc.subtopicIslamic capital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital markets
ikr.topic.subtopicIslamic capital markets
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