IDEAS home Printed from https://ideas.repec.org/a/eee/intfin/v51y2017icp190-208.html
   My bibliography  Save this article

Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices

Author

Listed:
  • Al-Khazali, Osamah
  • Mirzaei, Ali

Abstract

Despite the development and growth of Islamic finance, the academic literature on the subject, while increasing, has so far provided no information on the calendar anomalies in Islamic stock indices. Therefore, using stochastic dominance (SD) and mean–variance (MV) analyses, this paper examines the Adaptive Market Hypothesis (AMH) through three well-known calendar anomalies in eight Dow Jones Islamic Indices (DJII) from 1996 to 2015 and over five subsamples. The results of SD and MV show that varying of calendar anomalies over time support the AMH in Islamic stock indices. The most vital finding is that the Islamic indices achieved greater efficiency over time, particularly during the recent financial crisis, when their prevalence greatly increased. Thus, the results suggest that the AMH offers a better explanation of the behavior of calendar anomalies than the Efficient Market Hypothesis.

Suggested Citation

  • Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
    • Handle: RePEc:eee:intfin:v:51:y:2017:i:c:p:190-208
    DOI: 10.1016/j.intfin.2017.10.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1042443116301573
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.intfin.2017.10.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
    2. M. S. Feldstein, 1969. "Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(1), pages 5-12.
    3. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
    4. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2005. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 735-765.
    5. Alexis Guyot, 2011. "Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(6), pages 24-45, November.
    6. Zhuo Qiao & Weiwei Qiao & Wing-Keung Wong, 2011. "Examining the Day-of-the-Week Effects in Chinese Stock Markets: New Evidence from a Stochastic Dominance Approach," Global Economic Review, Taylor & Francis Journals, vol. 40(3), pages 251-267, September.
    7. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    8. Mohamed Shikh Albaity & Hamdia Mudor, 2012. "Return performance, Cointegration and short run dynamics of Islamic and non-Islamic indices: evidence from the US and Malaysia during the subprime crisis," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.
    9. Mohammad, Nazeeruddin & Ashraf, Dawood, 2015. "The market timing ability and return performance of Islamic equities: An empirical study," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 169-183.
    10. Russell Davidson & Jean-Yves Duclos, 2013. "Testing for Restricted Stochastic Dominance," Econometric Reviews, Taylor & Francis Journals, vol. 32(1), pages 84-125, January.
    11. Al-Khazali, Osamah M., 2001. "Does the January effect exist in high-yield bond market?," Review of Financial Economics, Elsevier, vol. 10(1), pages 71-80.
    12. Alexis Guyot, 2011. "Efficiency and Dynamics of Islamic Investment: Evidence of Geopolitical Effects on Dow Jones Islamic Market Indexes," Post-Print hal-00841074, HAL.
    13. Andreas G.F. Hoepner & Hussain G. Rammal & Michael Rezec, 2011. "Islamic mutual funds’ financial performance and international investment style: evidence from 20 countries," The European Journal of Finance, Taylor & Francis Journals, vol. 17(9-10), pages 829-850, November.
    14. Valentino Dardanoni & Antonio Forcina, 1999. "Inference for Lorenz curve orderings," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 49-75.
    15. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    16. Al-Khazali, Osamah & Bouri, Elie & Roubaud, David & Zoubi, Taisier, 2017. "The impact of religious practice on stock returns and volatility," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 172-189.
    17. Garry F. Barrett & Stephen G. Donald, 2003. "Consistent Tests for Stochastic Dominance," Econometrica, Econometric Society, vol. 71(1), pages 71-104, January.
    18. repec:ipg:wpaper:2014-091 is not listed on IDEAS
    19. Seyhun, H. Nejat, 1993. "Can Omitted Risk Factors Explain the January Effect? A Stochastic Dominance Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 195-212, June.
    20. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(3), pages 335-346.
    21. Gu, Anthony Yanxiang, 2003. "The declining January effect: evidences from the U.S. equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(2), pages 395-404.
    22. Magnus Dahlquist & Peter Sellin, 1996. "Stochastic dominance, tax-loss selling and seasonalities in Sweden," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 1-19.
    23. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October.
    24. Haitham A. Al-Zoubi & Aktham I. Maghyereh, 2007. "The Relative Risk Performance Of Islamic Finance: A New Guide To Less Risky Investments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 235-249.
    25. Varian, Hal R., 1983. "Nonparametric Tests of Models of Investor Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(3), pages 269-278, September.
    26. Fredj Jawadi & Nabila Jawadi & Abdoulkarim Idi Cheffou, 2015. "Are Islamic stock markets efficient? A time-series analysis," Applied Economics, Taylor & Francis Journals, vol. 47(16), pages 1686-1697, April.
    27. Mustafa Gultekin & Bulent Gultekin, "undated". "Stock Market Seasonality: Internal Evidence," Rodney L. White Center for Financial Research Working Papers 17-83, Wharton School Rodney L. White Center for Financial Research.
    28. Hassan, M. Kabir & Girard, Eric, 2010. "Faith-Based Ethical Investing: The Case Of Dow Jones Islamic Indexes," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 17, pages 1-31.
    29. Belaire-Franch, Jorge & Opong, Kwaku K., 2005. "Some evidence of random walk behavior of Euro exchange rates using ranks and signs," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1631-1643, July.
    30. Hussein, Khaled A., 2004. "Ethical Investment: Empirical Evidence From Ftse Islamic Index," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 12, pages 22-40.
    31. Graham Smith, 2012. "The changing and relative efficiency of European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 689-708, September.
    32. Hakansson, Nils H., 1972. "Mean-Variance Analysis in a Finite World," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1873-1880, September.
    33. Ashraf, Dawood & Mohammad, Nazeeruddin, 2014. "Matching perception with the reality—Performance of Islamic equity investments," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 175-189.
    34. Osamah M. Al-Khazali & Guillaume Leduc & Mohammad Saleh Alsayed, 2016. "A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(7), pages 1587-1605, July.
    35. Russell Davidson & Jean-Yves Duclos, 2000. "Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality," Econometrica, Econometric Society, vol. 68(6), pages 1435-1464, November.
    36. Hull, Matthew & McGroarty, Frank, 2014. "Do emerging markets become more efficient as they develop? Long memory persistence in equity indices," Emerging Markets Review, Elsevier, vol. 18(C), pages 45-61.
    37. Imam Wahyudi & Gandhi Anwar Sani, 2014. "Interdependence between Islamic capital market and money market: Evidence from Indonesia," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 32-47, March.
    38. Zhidong Bai & Hua Li & Huixia Liu & Wing‐Keung Wong, 2011. "Test statistics for prospect and Markowitz stochastic dominances with applications," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 278-303, July.
    39. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
    40. Sidney B. Wachtel, 1942. "Certain Observations on Seasonal Movements in Stock Prices," The Journal of Business, University of Chicago Press, vol. 15, pages 184-184.
    41. Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
    42. Azmat, Saad & Skully, Michael & Brown, Kym, 2014. "The Shariah compliance challenge in Islamic bond markets," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 47-57.
    43. Zheng, Buhong & J. Cushing, Brian, 2001. "Statistical inference for testing inequality indices with dependent samples," Journal of Econometrics, Elsevier, vol. 101(2), pages 315-335, April.
    44. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
    45. Álvarez-Díaz, Marcos & Hammoudeh, Shawkat & Gupta, Rangan, 2014. "Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 22-35.
    46. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
    47. Alexandru Todea & Maria Ulici & Simona Silaghi, 2009. "Adaptive Markets Hypothesis - Evidence from Asia-Pacific Financial Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 1(1), pages 007-013, December.
    48. Fong, Wai Mun & Wong, Wing Keung & Lean, Hooi Hooi, 2005. "International momentum strategies: a stochastic dominance approach," Journal of Financial Markets, Elsevier, vol. 8(1), pages 89-109, February.
    49. Al-Khazali, Osamah M. & Koumanakos, Evangelos P. & Pyun, Chong Soo, 2008. "Calendar anomaly in the Greek stock market: Stochastic dominance analysis," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 461-474, June.
    50. Gordon Anderson, 2004. "Making inferences about the polarization, welfare and poverty of nations: a study of 101 countries 1970-1995," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 537-550.
    51. Abdelbari El Khamlichi & Mohamed Arouri & Frédéric Teulon, 2014. "Persistence of Performance Using the Four-Factor Pricing Model: Evidence from Dow Jones Islamic Index," Working Papers 2014-216, Department of Research, Ipag Business School.
    52. Ito, Mikio & Sugiyama, Shunsuke, 2009. "Measuring the degree of time varying market inefficiency," Economics Letters, Elsevier, vol. 103(1), pages 62-64, April.
    53. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    54. Sensoy, Ahmet & Aras, Guler & Hacihasanoglu, Erk, 2015. "Predictability dynamics of Islamic and conventional equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 222-248.
    55. Anderson, Gordon, 1996. "Nonparametric Tests of Stochastic Dominance in Income Distributions," Econometrica, Econometric Society, vol. 64(5), pages 1183-1193, September.
    56. Hesham Merdad & M. Kabir Hassan & Yasser Alhenawi, 2010. "Islamic Versus Conventional Mutual Funds Performance in Saudi Arabia: A Case Study أداء الصناديق الاستثمارية الإسلامية مقارنة بأداء الصناديق الاستثمارية التقليدية في المملكة العربية السعودية: دراسة عم," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 23(2), pages 161-198, July.
    57. Levy, Haim, 1989. "Two-Moment Decision Models and Expected Utility Maximization: Comment," American Economic Review, American Economic Association, vol. 79(3), pages 597-600, June.
    58. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    59. John Wingender & James E. Groff, 1989. "On Stochastic Dominance Analysis Of Day‐Of‐The‐Week Return Patterns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(1), pages 51-55, March.
    60. Urquhart, Andrew & Hudson, Robert, 2013. "Efficient or adaptive markets? Evidence from major stock markets using very long run historic data," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 130-142.
    61. Soufian, Mona & Forbes, William & Hudson, Robert, 2014. "Adapting financial rationality: Is a new paradigm emerging?," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(8), pages 724-742.
    62. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-430, June.
    63. Joy, O. Maurice & Porter, R. Burr, 1974. "Stochastic Dominance and Mutual Fund Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(1), pages 25-31, January.
    64. Osamah M. Al‐Khazali & David K. Ding & Chong Soo Pyun, 2007. "A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit," The Financial Review, Eastern Finance Association, vol. 42(2), pages 303-317, May.
    65. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    66. Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
    67. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 213-227.
    68. Levy, Haim & Sarnat, Marshall, 1970. "Alternative Efficiency Criteria: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 25(5), pages 1153-1158, December.
    69. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
    70. Ho, Catherine Soke Fun & Abd Rahman, Nurul Afiqah & Yusuf, Noor Hafizha Muhamad & Zamzamin, Zaminor, 2014. "Performance of global Islamic versus conventional share indices: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 110-121.
    71. Abdelsalam, Omneya & Duygun, Meryem & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2014. "Do ethics imply persistence? The case of Islamic and socially responsible funds," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 182-194.
    72. Jian Zhou & Jin Man Lee, 2013. "Adaptive market hypothesis: evidence from the REIT market," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1649-1662, November.
    73. Kaur, Amarjot & Prakasa Rao, B.L.S. & Singh, Harshinder, 1994. "Testing for Second-Order Stochastic Dominance of Two Distributions," Econometric Theory, Cambridge University Press, vol. 10(5), pages 849-866, December.
    74. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    75. Ulkem Basdas, 2011. "The day-of-the-week effect for Istanbul stock exchange: a stochastic dominance approach," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 1(4), pages 1-10.
    76. Abdelbari El Khamlichi & Kabir Sarkar Humayun & Mohamed Arouri & Frédéric Teulon, 2014. "Are Islamic equity indices more efficient than their conventional counterparts ? Evidence from major global index families," Working Papers 2014-91, Department of Research, Ipag Business School.
    77. Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
    78. Hayat, Raphie & Kraeussl, Roman, 2011. "Risk and return characteristics of Islamic equity funds," Emerging Markets Review, Elsevier, vol. 12(2), pages 189-203, June.
    79. Rizvi, Syed Aun R. & Dewandaru, Ginanjar & Bacha, Obiyathulla I. & Masih, Mansur, 2014. "An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 86-99.
    80. Lim, Kian-Ping, 2007. "Ranking market efficiency for stock markets: A nonlinear perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 445-454.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Osamah AlKhazali & Hooi Hooi Lean & Taisier Zoubi, 2022. "The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach," IJFS, MDPI, vol. 10(4), pages 1-14, November.
    2. Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
    3. Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
    4. Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
    5. Alkhazali, Osamah M. & Zoubi, Taisier A., 2020. "Gold and portfolio diversification: A stochastic dominance analysis of the Dow Jones Islamic indices," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
    6. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
    7. Urquhart, Andrew & McGroarty, Frank, 2016. "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 39-49.
    8. Amélie Charles & Olivier Darné & Jae H Kim, 2017. "Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices," Post-Print hal-01526483, HAL.
    9. Urquhart, Andrew & McGroarty, Frank, 2014. "Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 154-166.
    10. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices," International Economics, Elsevier, vol. 151(C), pages 100-112.
    11. Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02965765, HAL.
    12. Pınar Evrim Mandacı & F. Dilvin Taskın & Zeliha Can Ergun, 2019. "Adaptive Market Hypothesis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 84-101.
    13. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," JRFM, MDPI, vol. 1(1), pages 1-40, December.
    14. Lean, Hooi Hooi & Smyth, Russell & Wong, Wing-Keung, 2007. "Revisiting calendar anomalies in Asian stock markets using a stochastic dominance approach," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 125-141, April.
    15. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
    16. Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2018. "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 167-180.
    17. Hooi Lean & Kok Phoon & Wing-Keung Wong, 2013. "Stochastic dominance analysis of CTA funds," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 155-170, January.
    18. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010. "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, vol. 32(5), pages 979-986, September.
    19. Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019. "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, vol. 61(C), pages 617-626.
    20. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2019. "An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China," Finance Research Letters, Elsevier, vol. 31(C).

    More about this item

    Keywords

    Dow Jones Islamic indices; Calendar anomalies; Adaptive market hypothesis; Market efficiency; Stochastic dominance;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:51:y:2017:i:c:p:190-208. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/intfin .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.