Testing the Islamic stock market efficiency : the case of Ftse Shariah indexes

Abstract EN

The aim of this study is to test the weak-form efficient market hypothesis for Islamic stock indices.

The data consists of daily market prices FTSE Shariah Indexes expressed in US$ and cover the period from 14 October 2013 to 20 August 2018.

The study is conducted by using different statistical tests to examine the weak-form market efficiency.

All tests reject the null hypothesis of the weak form efficiency for any of the Islamic stock indices returns investigated.

This implies that the succeeding price changes do not move in an independent manner and so these Islamic Stock Markets does not follow the random walk model, reveals that the future returns can be predicted by using the historical prices, and proves that they are an inefficient stock market.