Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui
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...
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Universiti Teknologi MARA Selangor
2017
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Online Access: | http://ir.uitm.edu.my/id/eprint/32224/1/AJ_AYMEN%20BEN%20REJEB%20B%2017.pdf http://ir.uitm.edu.my/id/eprint/32224/ http://www.jeeir.com/v2/index.php/35-current/2017/vol-5-no-3-2017/164-conventional-islamic-stock-markets-finperformance |
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my.uitm.ir.322242020-07-14T04:45:38Z http://ir.uitm.edu.my/id/eprint/32224/ Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui Rejeb, Aymen Ben Arfaoui, Mongi Investment, capital formation, speculation Stock exchanges. Insider trading in securities 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. Universiti Teknologi MARA Selangor 2017-09 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/32224/1/AJ_AYMEN%20BEN%20REJEB%20B%2017.pdf 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 http://www.jeeir.com/v2/index.php/35-current/2017/vol-5-no-3-2017/164-conventional-islamic-stock-markets-finperformance |
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Investment, capital formation, speculation Stock exchanges. Insider trading in securities Rejeb, Aymen Ben Arfaoui, Mongi Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui |
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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. |
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Article |
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Rejeb, Aymen Ben Arfaoui, Mongi |
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Rejeb, Aymen Ben Arfaoui, Mongi |
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Rejeb, Aymen Ben |
title |
Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui |
title_short |
Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui |
title_full |
Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui |
title_fullStr |
Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui |
title_full_unstemmed |
Conventional and islamic stock markets: what about financial performance? / Aymen Ben Rejeb and Mongi Arfaoui |
title_sort |
conventional and islamic stock markets: what about financial performance? / aymen ben rejeb and mongi arfaoui |
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Universiti Teknologi MARA Selangor |
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2017 |
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http://ir.uitm.edu.my/id/eprint/32224/1/AJ_AYMEN%20BEN%20REJEB%20B%2017.pdf http://ir.uitm.edu.my/id/eprint/32224/ http://www.jeeir.com/v2/index.php/35-current/2017/vol-5-no-3-2017/164-conventional-islamic-stock-markets-finperformance |
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