Conventional and Islamic stock markets: what about financial performance?
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AbstractThe study aims to analyze the performance of both Islamic and conventional stock markets, particularly at normal time and during the Subprime crisis period. The performance has been assessed by reference to one of the most important financial concepts, extremely useful in investment selections, namely: the informational efficiency. For this purpose, we use a relevant methodology based on the time varying parameters model combined with a GARCH specification, Granger non-causal test and structural break points technique. Empirical results show that the weak efficiency hypothesis is relatively verified in both the Islamic and the conventional market systems, but it varies from one market to another depending on the specific characteristics of each one. Moreover, we conclude that Islamic markets are not fully immunized against effects of financial crises and strong financial fragilities. The results of the Granger non-causality test suggest that the Islamic stock markets have succeeded to relatively escape important part of the last Subprime crisis risky effects. This evidence may support investment in this brand of markets and therefore allows the strengthening of economic growth.
Ben Rejeb, Aymen and Arfaoui, Mongi (2016): Conventional and Islamic stock markets: what about financial performance?