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

Rizvi, Syed Aun R.; Dewandaru, Ginanjar; Bacha, Obiyathulla Ismath; Masih, Mansur

doi:10.1016/j.physa.2014.03.091

Cited by 157 publications

(76 citation statements)

References 41 publications

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“…(For a detailed discussion on determination of 'q' see Refs. [69,70,68].) In line with the earlier theory outlined in literature review, for a market to be efficient, all kind of fluctuations should follow random walk behaviour.…”

Section: Efficiency Studymentioning

confidence: 59%

“…A recent study by Rizvi et al [68] has furthered an argument that the development stage of the market also plays a role in the relative efficiency of the market. Our preliminary results for the two decade efficiency ranking, conform to the recent work.…”

Section: Efficiency Over 2 Decadesmentioning

confidence: 99%

“…[68,69] who have delved into the determination of the apparent q based on the divergence of the integrand for large m a . (For a detailed discussion on determination of 'q' see Refs.…”

Section: Efficiency Studymentioning

confidence: 99%

See 2 more Smart Citations

The troika of business cycle, efficiency and volatility. An East Asian perspective

Arshad¹,

Rizvi²

2015

Physica A: Statistical Mechanics and its Applications

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Section: Efficiency Studymentioning

confidence: 59%

Section: Efficiency Over 2 Decadesmentioning

confidence: 99%

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The troika of business cycle, efficiency and volatility. An East Asian perspective

Arshad¹,

Rizvi²

2015

Physica A: Statistical Mechanics and its Applications

Self Cite

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“…() and Wang and Liu () who showed that oil prices generally became more efficient over time. Similarly, the results here are also in contrast to other markets such as stock markets (Rizvi et al ., ; Alam et al ., ; Arshad et al ., ; Rizvi & Arshad, ) where markets often display a dependable trend of improvement.…”

Section: Empirical Analysismentioning

confidence: 98%

Analysing the Relationship between Oil Prices and Islamic Stock Markets

Arshad

2017

J of App Econs and Policy

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This study is novel in measuring the volatility and efficiency of Islamic stock markets of top oil‐importing countries. Daily prices of six Islamic stock markets are analysed for volatility using EGARCH and efficiency using Multifractal Detrended Fluctuation Analysis, over three different economic regimes. The results indicate a concurrent movement of oil price volatility and Islamic stock market volatility, as Islamic stock markets are heavily reliant on the real economy, which faces the effects of oil price changes. Emerging markets faced higher volatility and lower efficiency than developed counterparts, owing to fast‐paced economic and infrastructural growth, affecting the real sector of the economy.

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“…Jose Alvarez-Ramirez, et al [12] explore the existence of asymmetries in the scaling behavior of time-series based on A-DFA, and find the asymmetries are scale-dependent, meaning that for some scales the scaling behavior is symmetric but asymmetric for another time scales. Syed Aun R. Rizvi, et al [13] investigated 22 broad market indices, find the empirical evidence of the impact of the 'stage of market development' on the efficiency of the market.…”

Section: Introductionmentioning

confidence: 99%