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 ‎.

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. ‎

• Item Type: MPRA Paper
• Language: English
• Keywords: Dow Jones Islamic Market (DJIM); Conventional Canadian Stock Index, Efficient-Market ‎Hypothesis (EMH), linear and nonlinear unit root tests, KSS, Sollis, CHLL‎
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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