Global islami pay piyasalarinda adaptif piyasa hipotezinin test edilmesi: markov-switching adf testi

Abstract

Although market efficiency has been extensively examined in the literature, the studies generally focus on conventional stock markets. Since market efficiency is related to a well-functioning market, it is of great importance for the efficient allocation of resources and also providing sustainable economic growth. Market efficiency is not only important for conventional stock markets but also for the Islamic stock market as the Islamic stock markets are gaining prominence. An increase in the scope of Islamic markets worldwide creates the motivation for investigating the efficiency of Islamic stock markets. Hence there is a growing interest in Islamic stock markets. With a limited number of studies that analyze the efficient market hypothesis in Islamic stock markets, this paper aims to examine market efficiency in the global Islamic stock markets via Markov-Switching Augmented Dickey-Fuller (MS-ADF) test. The linear unit root test result shows that the global Islamic stock market indices exhibit random walk properties that are consistent with the Efficient Market Hypothesis. On the other hand, nonlinear test results suggest global Islamic stock markets exhibit twostate regime-switching characteristics. The MS-ADF test results indicate that the world and developed Islamic stock markets are stationary only in the high volatility regime and this finding supports the Adaptive Market Hypothesis. However, the emerging Islamic stock market is found to be stationary in both regimes that are contradictory for weak-form efficiency.

Co-movement and causal relationships between conventional and Islamic stock market returns under regime-switching framework

“…As a result, the dynamic interaction between Islamic and conventional financial markets has changed throughout time. Buğan et al. (2021) used the Markov-switching augmented Dickey-Fuller (MS-ADF) test to look at market efficiency in global Islamic stock markets.…”

Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test

“…Price changes only affect the investors' decisions, and if they move randomly, they become an indicator of market efficiency. Moreover , market efficiency is essential for all countries in regard to resource allocation and sustainable economic development (Bugan, Çevik, Kırcı Çevik, & Yıldırım, 2021). Since it improves pricing and availability of capital, attracts foreign investment, and increases domestic savings, many hypotheses have been developed to investigate market efficiency (Al-Khazali, Leduc, & Alsayed, 2016).…”

“…In this respect, it is appropriate for our stock market data. While many studies are investigating EMH for traditional stock markets, a limited number of studies such as those of Al-Khazali et al, (2016), Ali, Shahzad, Raza, & Al-Yahyaee, (2018), Arshad, (2014, Bouoiyour, Selmi, & Wohar, (2018), Bugan et al, (2021) and Mensi, Tiwari, & Yoon (2017) examined EMH for Islamic stock markets. According to the authors' best knowledge, several studies have analyzed the weak-form efficiency for different indices in the context of the EMH.…”