Conventional Stock Indices Research Articles

Safe Havens Characteristics of Islamic Stock Indices During Bearish and Bullish Markets: A Case of Developed and Developing Countries

Purpose — This study examines the performance of Islamic and conventional indices during bullish (positive) and bearish (negative) markets while the economic and financial conditions are different. Design/Methodology/Approach — This study uses GARCH (1,1) and wavelet-assisted cross-spectral, cross-correlation analyses to investigate the performance of Islamic and conventional stock indices and study the presence of safe havens, which reflect low volatility in the indices during times of market turbulence, for investors during bearish and bullish periods from 2019–2021. Findings — The paper finds that there is high and persistent volatility in Islamic indices in bullish markets, while in bearish periods the Islamic indices show low volatility persistence; and conventional indices were highly volatile during crisis periods. Also, the impact of news shocks on Islamic indices was intense before COVID-19, while after that news, shocks had a high impact on the conventional indices. The wavelet coherence analysis shows that there is high coherency between Islamic and conventional indices in developed countries but in developing countries, the opposite prevails. Originality/Value — The study is the first to use both Generalised Autoregressive Conditional Heteroskedasticity (GARCH) and wavelet coherence models for examining Islamic and conventional stock indices during bearish and bullish markets, especially in the COVID-19 pandemic era. Practical Implications — The results conclude that there are safe havens present in Islamic indices in both developing and developed countries, especially the United States (US), the United Kingdom (UK), India, and Indonesia, while in other countries the presence is weak. Both GARCH and wavelet coherence models show the same results regarding the presence of volatility and safe havens for investors in different countries.

DOES COVID-19 CAUSE STRUCTURAL CHANGES IN THE INDONESIAN STOCK MARKET BEHAVIOR? A COMPARISON OF ISLAMIC AND CONVENTIONAL STOCK

Introduction: Islamic stock is believed to be more stable and less risky than conventional stock due to specific screening based on Sharia principles, particularly during economic downturns. This research aims to investigate whether the Covid-19 outbreak caused a structural break in Indonesia's Islamic and conventional stock markets. Methods: This study covers the period from January 2007 to June 2022, divided into sub-periods before Covid-19 (January 2007 to February 2020) and during COVID-19 (March 2020 to June 2022). The study adopts the time series regression method to examine the predicting factors of Islamic and conventional stock indexes, followed by the application of the Chow Breakpoint Test method to determine whether there are structural changes in the Islamic and conventional stock markets due to Covid-19. Results: The results of this study suggest that, in comparison to the period preceding Covid-19, the Islamic stock index demonstrates heightened sensitivity to fluctuations in predicting factors during the pandemic. Additionally, there is an absence of any structural break observed in conventional indices. Consequently, Islamic stocks exhibit lower resistance during crisis periods than conventional stocks. Conclusion and suggestion: This finding prompts a comprehensive evaluation of the Sharia screening standards by policymakers to enhance the resilience of Islamic stocks during economic turmoil. Moreover, based on the results, it is suggested that investors cannot consider the Islamic stock index as a 'safe-haven' instrument during financial turmoil. The result of this research assist investors in adjusting their investment strategies more effectively, particularly in bearish market conditions.

Stock Market Resilience: Evaluating Islamic and Conventional Indices through COVID-19 Waves

The study examined the impact of the five COVID-19 waves on Pakistan's conventional (KSE-100) and Islamic (KMI-30) stock indices from March 3, 2020, to August 30, 2022. The DCC GARCH (1, 1) model found weak, predominantly negative connections between COVID-19 cases each day and stock returns. Visual data indicated a slight decrease in both indices as cases increased, reflecting previous findings on pandemics' adverse effects on stock markets. A thorough examination of the linkages between COVID-19 cases and financial indicators using Wavelet Coherence analysis highlighted intricate connections that are important to policymakers and financiers. Pakistan's KSE100 and KMI-30 indices showed a constant significant positive dynamic conditional association that persisted throughout the investigation. This challenges the perception that the Islamic index serves as a safe haven during financial crises. According to the research, Islamic stock markets, as reflected by the KMI-30, were not as protective or as good at hedging during crises like the COVID-19 pandemic. In fact, they were more susceptible to economic downturns. When navigating the effects of global health crises on financial markets, investors and policymakers must have a thorough understanding of these dynamics.

Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19

Examining the performance of Shari’ah‑compliant versus conventional stock indexes: A comparative analysis pre-, during, and post-COVID-19

Energy Prices and Their Impact on US Stock Indices: A Wavelet- based Quantile-on-Quantile Regression Approach

This study delves into the effects of crude oil and gas prices on the United States’ (US) conventional, Islamic, and environmental, social, and governance (ESG) stock indices from January 2013 to December 2022. Decomposing original time series data to minimise inherent fluctuations and using the Quantile-on-Quantile (QQ) regression approach presents a nuanced view of how these energy prices impact different stock indices. The findings reveal that crude oil prices have a variable impact on the indices: high prices negatively influence the indices, low prices have a positive effect, and moderate prices yield a moderate positive impact. After data decomposition, this positive influence diminishes in higher quantiles, indicating an emerging neutral effect in stabilised conditions. In contrast, gas prices show a limited impact, with high prices slightly benefiting conventional and ESG indices but less so for the Islamic index. This suggests a more pronounced influence of oil prices on the indices, likely due to the dependence of many listed companies on oil. The study emphasises the importance of considering oil-related risks in investment strategies and highlights the asymmetric impact of crude oil prices on the US stock indices. These findings have significant implications for investors and policymakers. They underscore the need for careful consideration of oil price dynamics in investment decisions and the importance of staying vigilant against shifts in oil prices that could lead to market instability.

Calendar anomalies and asymmetric volatility of returns in the Indonesian stock market: conventional vs Islamic indices

Purpose This study aims to identify calendar anomalies that can affect stock returns and asymmetric volatility. Thus, the objective of this study is twofold: on the one hand, it examines the impact of calendar anomalies on the returns of both conventional and Islamic indices in Indonesia, and on the other hand, it analyzes the impact of these anomalies on return volatility and whether this impact differs between the two indices. Design/methodology/approach The authors apply the GJR-generalized autoregressive conditional heteroskedasticity model to daily data of the Jakarta Composite Index (JCI) and the Jakarta Islamic Index for the period ranging from October 6, 2000 to March 4, 2022. Findings The authors provide evidence that the turn-of-the-month (TOM) effect is present in both conventional and Islamic indices, whereas the January effect is present only for the conventional index and the Monday effect is present only for the Islamic index. The month of Ramadan exhibits a positive effect for the Islamic index and a negative effect for the conventional index. Conversely, the crisis effect seems to be the same for the two indices. Overall, the results suggest that the impact of market anomalies on returns and volatility differs significantly between conventional and Islamic indices. Practical implications This study provides useful information for understanding the characteristics of the Indonesian stock market and can help investors to make their choice between Islamic and conventional equities. Given the presence of some calendar anomalies in the Indonesia stock market, investors could obtain abnormal returns by optimizing an investment strategy based on seasonal return patterns. Regarding the day-of-the-week effect, it is found that Friday’s mean returns are the highest among the weekdays for both indices which implies that investors in the Indonesian stock market should trade more on Fridays. Similarly, the TOM effect is significantly positive for both indices, suggesting that for investors are called to concentrate their transactions from the last day of the month to the fourth day of the following month. The January effect is positive and statistically significant only for the conventional index (JCI) which implies that it is more beneficial for investors to invest only in conventional assets. In contrast, it seems that it is more advantageous for investors to invest only in Islamic assets during Ramadan. In addition, the findings reveal that the two indices exhibit lower returns and higher volatility, which implies that it is recommended for investors to find other assets that can serve as a safe refuge during turbulent periods. Overall, the existence of these calendar anomalies implies that policymakers are called to implement the required measures to increase market efficiency. Originality/value The existing literature on calendar anomalies is abundant, but it is mostly focused on conventional stocks and has not been sufficiently extended to address the presence of these anomalies in Shariah-compliant stocks. To the best of the authors’ knowledge, no study to date has examined the presence of calendar anomalies and asymmetric volatility in both Islamic and conventional stock indices in Indonesia.

The Impact of the Declaration of Presidential and Vice Presidential Candidates on Capital Market in Indonesia:

This research aims to analyze the impact of the declaration of the presidential and vice presidential candidates on the dynamics of the capital market in Indonesia. The method used is quantitative analysis with a multiple dummy variable regression approach. The results prove that the declaration of the presidential and vice presidential candidates has a significant impact on the dynamics of the capital market in Indonesia. The movements of conventional stock indices (Composite and LQ45) and sharia stock indices (JII70 and ISSI) are significantly influenced by the declaration of the presidential and vice presidential candidate pairs for the 2024 Election, with quite strong correlations (Composite 0.6242, LQ45 0.6805, JII70 0.7968, and ISSI 0.5181). The declaration of the Anies-Muhaimin pair (Capres1) is positively correlated with the movement of the Composite stock index, LQ45, JII70 and ISSI. Meanwhile, the declaration of the Ganjar-Mahfudz pair (Capres 2) and the Prabowo-Gibran pair had a negative correlation with the movement of the Composite stock index. Research facts show that the capital market responded positively to the declaration of pair number 1 (Anies-Muhainin). On the other hand, the capital market responded negatively to the declarations of pair Number 2 (Prabowo-Gibran) and pair Number 3 (Ganjar-Mahfudz). The capital market was under greater pressure after the Prabowo-Gibran pair was declared. Market pressure is greater on Prabowo-Gibran compared to the Ganjar-Mahfudz pair and the Anies-Amin pair.
 Keywords: presidential and vice presidential candidate declaration, conventional capital market, sharia capital market

The dynamic volatility nexus of geo-political risks, stocks, bond, bitcoin, gold and oil during COVID-19 and Russian-Ukraine war.

We investigate the dynamic volatility connectedness of geopolitical risk, stocks, bonds, bitcoin, gold, and oil from January 2018 to April 2022 in this study. We look at connectivity during the Pre-COVID, COVID, and Russian-Ukraine war subsamples. During the COVID-19 and Russian-Ukraine war periods, we find that conventional, Islamic, and sustainable stock indices are net volatility transmitters, whereas gold, US bonds, GPR, oil, and bitcoin are net volatility receivers. During the Russian-Ukraine war, the commodity index (DJCI) shifted from being a net recipient of volatility to a net transmitter of volatility. Furthermore, we discover that bilateral intercorrelations are strong within stock indices (DJWI, DJIM, and DJSI) but weak across all other financial assets. Our study has important implications for policymakers, regulators, investors, and financial market participants who want to improve their existing strategies for avoiding financial losses.

COVID-19'UN İSLAMİ VE GELENEKSEL HİSSE SENEDİ ENDEKSLERİ ÜZERİNDEKİ ETKİSİ

The objectives of this research are to study Islamic stock indexes during the time of Covid-19 extensively and compare it with conventional stock indexes. Our research aims to analyse how stock returns indexes of Islamic and conventional have been affected by COVID-19. So, in other word, the research objected to analyse the effect of COVID-19 on the returns and volatility of Islamic and conventional stocks indexes by using ARIMA-X and EGARCH-X models. In keeping with this objective, the Islamic and conventional stocks indexes were used to estimate the financial stock return, and the dummy variable as of number of everyday cases of each country was used to estimate the effect of COVID-19.
 The research investigates the levels of uncertainty and volatility in Islamic and conventional stock indexes prior to and during the Covid-19 crisis. Additionally, it compares Islamic stock markets with others and analyses the impact of the pandemic on these markets. The findings reveal statistically significant results, with certain indexes demonstrating significance at levels of 10%, 5%, and 1%.
 By overall looking we can say that Nigerian indexes were affected the most among others which include the Islamic and the conventional, moreover the least affected by the uncertainty was in Indonesia and Malaysia and the Islamic indexes in general were better. We can conclude that Islamic stock indexes were affected like others by the COVID-19.

Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio

This paper aims to assess the performance of Islamic portfolios vis-à-vis their conventional counterparts across two distinct periods: the pre-COVID-19 era and the COVID-19 era. Departing from prior studies, this study makes a novel contribution by employing an extensive array of 18 portfolio optimization techniques to construct optimal portfolios for conventional stock indices encompassing energy, utilities, and environmental, social, and governance (ESG) dimensions, as well as their Islamic equivalents. Performance comparisons are made utilizing three risk-adjusted performance measures, namely the Sharpe ratio, the Omega ratio, and the Sortino ratio. Our findings reveal that Shariah portfolios outperform conventional portfolios across all performance measures and risk-aversion levels when the most effective optimization methods are employed, both during pre-crisis and crisis periods. Additionally, our analysis highlights certain methods, namely EWMA, GM, DCC, and SHC, which produce portfolios exhibiting superior performance relative to alternative methods, as assessed by risk-adjusted metrics. Furthermore, Islamic portfolios demonstrate higher average returns compared to their conventional counterparts. Notably, incorporating ESG-related stocks into energy and utilities assets significantly enhances average returns, underscoring the potential of ESG investments. Collectively, our findings have noteworthy implications for investors, as they emphasize the role of Islamic stocks as effective diversifiers, yielding favorable resource allocation opportunities during times of crisis as well as stability. However, investors should exercise caution in selecting the optimal portfolio optimization method, as substantial performance disparities exist among different approaches.

Do I slamic S tocks Outperform C onv entional S tocks During C risis Periods? A Global Comparison

Purpose: This study examines the performance of Islamic and Conventional stock indices during the Covid-19 pandemic crises. The aim of the study is to find the existence of safe havens in Islamic stock indices.
 Design/methodology/approach: The study uses mean and cumulative return values and the GARCH (1 1) model to examine the volatility performance of stock returns and the impact of Covid-19 on both indices.
 Findings: Our findings indicate that Islamic stock indices tend to outperform conventional indices during crisis periods, particularly in developing economies and in the short term. However, conventional stock indices exhibit stronger performance in the long run and post-crisis periods. Moreover, the study reveals that the effects of Covid-19 cases and deaths on both indices vary across countries. Additionally, Islamic stock returns demonstrate lower volatility compared to previous shocks and returns, whereas conventional indices experience higher volatility, particularly in developing countries. Therefore, the s tudy establishes that I slamic indices can serve as safe havens for investors in certain countries, but not universally.
 Research limitations/implications: The study can be extended and more effective by adding more crisis events and a number of years to examine long-term stock moments. The study can be helpful for investors in designing investment portfolios, especially in times of crisis where the majority of investors try to find safe havens for investment.
 Originality/value: This study is the first to examine the impact of recent crises on Islamic and conventional stock indices in the world's big stock markets. The study is also the first one to use the longest data period among the recent studies to differentiate the performance of Islamic and conventional indices.

Returns and Asymmetric Volatility Interdependencies between Sustainable and Conventional Stock Indices: Evidence from Developed and Emerging Countries

The study investigates the co-integration and asymmetric volatility interdependence between the sustainable and conventional stock indices of emerging and developed countries. Daily closing values are used from 1st January 2015 to 15th July 2022. The study employs ARDL and VAR-Granger causality model to examine long-run association and cause-effect relation, respectively. Moreover, the Bivariate EGARCH model is also used to analyse return and asymmetric volatility spillover between two indices. The analysis reveals no evidence of co-integration between sustainable and conventional indices. However, bidirectional causality exists in all countries except the United Kingdom (UK) and United Arab Emirates (UAE). The return spillover result exhibits that return of the conventional index of Japan and Brazil are negatively affected by changes in its sustainable index. The EGARCH results reveal the bidirectional volatility spillover in all the markets. The volatility shocks from the sustainable index of the United States of America (USA) and China have an asymmetric effect on the conventional indices of these countries. Further, positive asymmetric spillover was observed between the sustainable and conventional indices of Brazil and UK. The knowledge of linkage and asymmetric volatility spillover will assist the investors in portfolio management and formulating hedging strategies during financial and economic adversities.

COINTEGRATION AND CONTAGION EFFECT CONVENTIONAL AND SHARIA STOCK INDICES DURING COVID-19

The COVID-19 pandemic has also affected stock price movement all over the world, along with the changes in the economic sector. Many studies have tried to reveal the integration of stock indices worldwide, but little show the Sharia Indices’ movement due to the COVID-19 pandemic. This study analyzes the cointegration and contagion effect during the pandemic on Conventional and Sharia stock indices in Asia Pacific, China, Malaysia, and Indonesia. This study explores the difference between Sharia and Conventional indices during the COVID-19 pandemic. VAR (Vector Auto-Regressive) and VECM (Vector Error Correction Model) were used to analyze the hypothesis with E-Views 12. The data used in this study was the closing date from each index from 1 July 2018 to 30 June 2022. This study showed no cointegration effect between Sharia indices during the pandemic, but there was a cointegration effect on Conventional indices. During the pandemic, there was a contagion effect on both Shariah and Conventional indices. The results of this study are expected to be a reference basis for promoting the Sharia Stock Market because it is more proven in dealing with crises than the Conventional Stock Market.

Dampak Deklarasi Capres-Cawapres terhadap Dinamika Pasar Modal di Indonesia:

This research aims to analyze the impact of the declaration of the presidential and vice presidential candidates on the dynamics of the capital market in Indonesia. The method used is quantitative analysis with a multiple dummy variable regression approach. The results prove that the declaration of the presidential and vice presidential candidates has a significant impact on the dynamics of the capital market in Indonesia. The movements of conventional stock indices (Composite and LQ45) and sharia stock indices (JII70 and ISSI) are significantly influenced by the declaration of the presidential and vice presidential candidate pairs for the 2024 Election, with quite strong correlations (Composite 0.6242, LQ45 0.6805, JII70 0.7968, and ISSI 0.5181). The declaration of the Anies-Muhaimin pair (Capres1) is positively correlated with the movement of the Composite stock index, LQ45, JII70 and ISSI. Meanwhile, the declaration of the Ganjar-Mahfudz pair (Capres 2) and the Prabowo-Gibran pair had a negative correlation with the movement of the Composite stock index. Research facts show that the capital market responded positively to the declaration of pair number 1 (Anies-Muhainin). On the other hand, the capital market responded negatively to the declarations of pair Number 2 (Prabowo-Gibran) and pair Number 3 (Ganjar-Mahfudz). The capital market was under greater pressure after the Prabowo-Gibran pair was declared. Market pressure is greater on Prabowo-Gibran compared to the Ganjar-Mahfudz pair and the Anies-Amin pair.
 Keywords: presidential and vice presidential candidate declaration, conventional capital market, sharia capital market

Spillover of volatility among financial instruments: ASEAN-5 and GCC market study.

The research examines a comovement and spillover of volatility among foreign exchange, conventional and shariah stock markets in Association of South East Asian Nation-5 (ASEAN) countries and Gulf Cooperation Council (GCC) countries. Generalized Autoregressive Conditional Heteroskedasticity-Baba, Engle, Kraft and Kroner (GARCH-BEKK) and Dynamic Conditional Correlation (GARCH-DCC) models are used to capture the correlation and transmission volatility of the markets. The overall results show that both the Shariah and the conventional stock indices respond similarly to each country's currency. A bidirectional (two-way relationship) volatility spillover exists only in Malaysia and a unidirectional (one-way relationship) volatility is observed in Indonesia, Singapore, Thailand, and Bahrain. The rest of the markets-the Philippines, Saudi Arabia, and the United Arab Emirates (UAE)-do not have any volatility spillover evidence. Based on DCC outcomes, the conventional and Shariah stock in ASEAN-5 countries and GCC countries reveal the market efficiency, i.e., a positive high conditional correlation. Only Bahrain shows less efficiency than the other countries. It implies no portfolio diversification advantage in conventional and Shariah stock indices. Contrarily, currency and stock (conventional and Shariah) markets provide portfolio diversification benefits for all ASEAN-5 and GCC countries.

Interoperability of the revolutionary blockchain architectures and Islamic and conventional technology markets: Case of Metaverse, HPB, and Bloknet

This study examines how Islamic and conventional technology stock indices interact with blockchain technology assets including Metaverse, High-Performance Blockchain, and Blocknet, throughout different market conditions and horizons. A three-pronged approach is employed, namely the quantile cross-spectral coherency approach, the time-varying parameter vector autoregressions (TVP-VAR), and the Causality in quantiles methodology. The quantile coherency results show that connectivity between new generation blockchains and conventional and Islamic markets varies. It was found that the connectedness of the network of variables rises in the medium run and reaches its peak in the long run as a result of the TVP-VAR approach. It is evident from the results that the application of sharia screening only impacts the relationship between the technology stock index and digital assets significantly, but does not affect the connectedness and causality between the two. Technology managers, policymakers, and blockchain designers are able to gain new insights from these research findings.

Co-Movement and Performance Comparison of Conventional and Islamic Stock Indices during the Pre- and Post-COVID-19 Pandemic Era

This study conducts a comparative analysis of the performance of Islamic and conventional indices in both developed and developing countries and territories, considering the pre- and post-COVID-19 pandemic periods. The research employs performance index tools and time–frequency wavelet-based analysis to assess how the COVID-19 pandemic affected the performance, volatility, and co-movement of Islamic and conventional stock indices. The findings reveal that Islamic stock indices are more resilient and tend to outperform conventional stocks during crisis periods in both developed and developing countries and territories, and this trend holds true in the long and short term across most countries. The analysis of wavelet coherence indicates a strong co-movement and coherence between Islamic and conventional indices. Furthermore, the study reveals that in developing countries and territories, the co-movement is characterized by weak coherence and high volatility compared to developed countries and territories. The study highlights the significance of Islamic indices as safe havens for investors during times of crisis, suggesting that including Islamic equities in investment portfolios can potentially yield higher returns compared to conventional indices. This research holds practical value for individual traders involved in the online trading of global stock indices, aiding them in constructing and designing internationally diversified portfolios. Unlike previous studies that focused on specific countries and territories and indices, this study offers a comprehensive examination of the behavior of Islamic and conventional indices across major global markets during both crisis and noncrisis periods. The results contribute significantly to the existing literature and offer valuable insights for investors.

Pengaruh Ekonomi Makro terhadap Volatilitas Return Indeks Saham Konvensional dan Syariah

The high number of actors investing in the stock market requires investors to have understanding and information about the rate of return and risk that will occur. For this reason, investors need to know what predictable factors can affect stock returns. Therefore, this study aims to determine the effect of inflation, exchange rates, BI rates, and foreign exchange reserves on return volatility of conventional and sharia stock indexes. The type of data used is secondary quantitative data from the Indonesia Stock Exchange, Bank Indonesia, the Central Bureau of Statistics, Google Finance. The population in this study is the conventional and sharia stock index. Sample data determined by purposive sampling method. This study uses the Panel Data Regression Analysis model with a combination of time series and cross section data to see the effect of the independent variables on the dependent variable. The data processing aids used in this study were Microsoft Excel 2010 and Eviews version 10. The results of the study found that conventional stock index return volatility for inflation had a negative and significant effect, the BI Rate had a negative and insignificant effect, the exchange rate had a positive and significant effect and device backup has a negative and significant effect. Whereas on the return volatility of the sharia stock index for the inflation variable has a negative and significant effect, the Bi Rate has a negative and significant effect, the exchange rate has a positive and significant effect, and foreign exchange reserves have a negative and insignificant effect.

Dynamic inflation hedging performance and downside risk: A comparison between Islamic and conventional stock indices

Inflation has attained the highest level in decades, with the Russian/Ukrainian war adding upward pressure on prices of energy and food. The recent war has exacerbated the already growth of consumer prices resulting from the COVID-19 and disrupted supply-chains. In a high-inflation environment where investors face inflationary pressures during their investment decision-making, it becomes increasingly important to diversify portfolios towards assets with potential inflation hedging abilities. This paper applies the dependence-switching copula and different dynamic downside risk measures to assess the role of Islamic stocks as a hedge for inflation, in comparison to their conventional counterparts. We use data for the period January 2000–October 2022, covering the periods prior to and post-COVID-19 and the war in Ukraine. We consider an investor simply wishing to hedge inflation (or a “safety first” investor) and an investor having a more ambitious target real return. For each of the investor targets, we identify the optimal portfolio composition depending on various scenarios. Prior to the pandemic and the Ukraine conflict, Islamic stock indices exhibit the best hedging properties under their bull states, extreme inflation episodes and for an investor willing just to protect against inflation. In considering the post-2020 concerns, Islamic stocks’ diversification potentials are going to be more relevant, reinforcing their strategic benefits as risk mitigation assets. But by increasing the target of real return, it is shown that the weight assigned to the Islamic equities in the portfolio is smaller relative to the conventional stocks. The fund managers and financial analysts can rely on these findings in order to help investors reach a well-diversified portfolio and achieve an optimal risk reduction in an inflationary environment.

Adaptive market hypothesis: A comparison of Islamic and conventional stock indices

We assess the informational efficiency of nine Dow Jones Islamic market indices and their counterpart conventional Morgan Stanley indices using data from 1996 to 2020. We test the martingale difference hypothesis of no return predictability over time and assess the adaptive market hypothesis over different market conditions. We find that the null is rejected in several periods in line with the adaptive market hypothesis for both Islamic and conventional stock indices. However, we do not observe any significant differences in return predictability between Islamic and conventional stocks in different market conditions, including the financial crisis of 2007–08 and the COVID-19 pandemic.