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A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic

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  • Raza, Syed Ali
  • Shah, Nida
  • Suleman, Muhammed Tahir

Abstract

This paper examines the efficiency of DJIM conventional and Islamic sectoral stock markets before and during the Covid-19 period. The study uses both sectoral stock markets' daily data from January 1, 2010, to August 1, 2022, and relies on the multifractal detrended fluctuation analysis (MF-DFA). Firstly, we find that the conventional and Islamic sectoral stock markets are multifractal in the short and long run. Secondly, conventional and Islamic sectoral stock markets are characterized by long-term memory features in small fluctuations. Thirdly, in terms of efficiency before the Covid-19 period, in the Islamic sectoral market, the healthcare sector is the most efficient in the short run, and the financial sector is the most efficient in the long run. During the Covid-19 period, in the conventional sectoral market, the financial sector was the most efficient in the short run, and the utility sector was the most efficient in the long run.

Suggested Citation

  • Raza, Syed Ali & Shah, Nida & Suleman, Muhammed Tahir, 2024. "A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic," International Economics, Elsevier, vol. 177(C).
    • Handle: RePEc:eee:inteco:v:177:y:2024:i:c:s2110701723000756
    DOI: 10.1016/j.inteco.2023.100463
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    More about this item

    Keywords

    DJIM islamic markets' efficiency; Covid-19 pandemic; MF-DFA technique;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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