Akademik Veri Yönetim Sistemi
International Journal of Islamic and Middle Eastern Finance and Management, cilt.18, ss.1-31, 2025 (SSCI, Scopus)
Purpose
This study examines the weak-form market
efficiency of Islamic stock indices across eleven countries. It aims to
contribute to the Islamic finance literature by applying a rigorous
methodological framework designed to overcome limitations identified in previous
research.
Design/methodology/approach
This study utilizes daily data from the Dow
Jones Islamic Market indices. Our methodological approach involves an enhanced
testing framework. This framework incorporates: (1) pre-testing for
non-linearity and structural breaks to ensure the appropriate selection of unit
root tests, and (2) wavelet decomposition to analyze market efficiency across
distinct investment horizons (short-term, medium-term, and long-term).
Findings
Our empirical results consistently show that
the Islamic stock indices under examination deviate from weak-form market
efficiency. This inefficiency persists across all tested investment horizons.
Furthermore, the evidence reveals complex nonlinear dependencies and persistent
violations of the random walk hypothesis within these markets. These findings
suggest the potential for exploitable price predictability.
Originality
This study offers a significant contribution
to the Islamic finance literature by implementing a methodologically robust
framework for assessing market efficiency in Sharia-compliant markets. The use
of pre-testing for non-linearity and structural breaks, combined with wavelet
decomposition analysis, addresses critical shortcomings in prior studies. Our
findings highlight the importance of methodological rigor when testing market
efficiency hypotheses within ethical investment contexts. They also offer valuable
implications for portfolio management, investment strategy formulation, and
regulatory policy development within the Islamic financial ecosystem.