Munich Personal RePEc Archive

Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎

neifar, malika (2020): Efficient Markets Hypothesis in Canada:‎ a comparative study between Islamic and Conventional stock markets ‎.

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Abstract

In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly ‎data from 2004M08 to 2018M04 of stock prices by using linear and nonlinear (KSS 3 type, ‎Sollis and Kruse) unit root tests. The informational market efficiency is examined in the ‎Islamic and conventional markets in Canada. It aims to investigate whether Islamic market ‎would be more or less efficient than the conventional one. Findings indicate that both ‎Conventional Canadian Stock Index (CCSI) and Dow Jones Islamic Canadian Price Index ‎‎(DJICPI) show characteristics of random walk indicating that the stock markets are efficient. ‎The major policy implications is that in this country (Canada), fund managers and investors ‎cannot enjoy excess returns to their investment. ‎

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