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

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  • 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
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    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

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