Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui

Rejeb, Aymen Ben and Arfaoui, Mongi (2017) Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui. Journal of Emerging Economies & Islamic Research, 5 (3). pp. 1-18. ISSN 2289-2559

Abstract

The main objective of this paper is to analyse the performance of both Islamic and conventional stock market indices, particularly during the financial subprime crisis period. For this purpose, we use updated data including the recent financial instability periods and a relevant methodology based on the time varying parameter model combined with a GARCH specification, a Granger non-causal test and a structural break points technique. The empirical results show that the weak efficiency hypothesis is relatively verified in the Islamic context than in the conventional one. Moreover, we can conclude that Islamic markets are not fully immunised against the effects of financial crises and the strong financial fragilities. The results of the Granger non-causality test suggest that the Islamic stock markets have succeeded to relatively escape important part of the last subprime crisis harmful effects. This may encourage investment in this type of markets and therefore allows the strengthening of economic growth.

Metadata

Item Type: Article
Creators:
Creators
Email / ID Num.
Rejeb, Aymen Ben
UNSPECIFIED
Arfaoui, Mongi
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation
H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
Divisions: Universiti Teknologi MARA, Selangor > Puncak Alam Campus > Faculty of Business and Management
Journal or Publication Title: Journal of Emerging Economies & Islamic Research
UiTM Journal Collections: UiTM Journal > Journal of Emerging Economies and Islamic Research (JEEIR)
ISSN: 2289-2559
Volume: 5
Number: 3
Page Range: pp. 1-18
Keywords: Informational efficiency, Financial fragility, Financial crisis, Financial interdependence, Islamic stock markets
Date: September 2017
URI: https://ir.uitm.edu.my/id/eprint/32224
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32224

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