Research Article


DOI :10.26650/JEPR1111585   IUP :10.26650/JEPR1111585    Full Text (PDF)

Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test

Salih ÜlevMervan Selçuk

Islamic stock markets and indices are a newly developing field and an essential phenomenon in the global financial system. Islamic stocks are different from conventional counterparts because they filter firms that do not comply with Shari'ah principles. The efficiency of stock markets is essential for all countries in regard to resource allocation and sustainable economic development. Therefore, many hypotheses have been developed to investigate market efficiency. The first and one of the most important of these hypotheses is the efficient market hypothesis. This paper aims to investigate the weak-form market efficiency of Islamic stock markets. For this purpose, we used 13 indices data in Dow Jones and S&P between 2011 and 2021, employing the Fourier Wavelet ADF (FWADF) Unit Root Test. The FWADF test enabled us to consider structural breaks with an unknown number, time, and form. The studies examining EMH and Islamic indices did not consider smooth changes and frequency information in wavelet-based unit root tests. Therefore, it is possible that the information for indices may have been incomplete. Adopting FWADF, our study contributes to the literature in that it uses all information about the stock market indices data in the analysis. The findings show that six Islamic market indices have unit roots, but seven indices are stationary. This means that all emerging market indices analyzed have market efficiency, but developed country indices do not. The results provide further understanding for investors and financial analysists enabling them to assess their decisions efficiently in constructing investment portfolios. 

JEL Classification : G11 , C50 , Z12
DOI :10.26650/JEPR1111585   IUP :10.26650/JEPR1111585    Full Text (PDF)

İslami Endekslerde Zayıf Formda Piyasa Etkinliğinin Fourier Wavelet ADF Birim Kök Testi ile Test Edilmesi

Salih ÜlevMervan Selçuk

İslami hisse senedi piyasa endeksleri, küresel finansal sistem içerisinde yeni gelişen ve önemli bir alandır. İslami hisse senedi piyasaları, Şer’i prensiplere uymayan firmaları filtrelediği için konvansiyonel muadillerinden ayrılmaktadır. Hisse senedi piyasalarının etkinliği, kaynak dağılımı ve sürdürülebilir ekonomik kalkınma için önemli bir unsurdur. Bu nedenle, piyasa etkinliğini araştıran pek çok hipotez geliştirilmiştir. Bunlardan ilki ve en önemlilerinden biri etkin piyasa hipotezidir (EMH). Bu çalışma İslami hisse senedi endeksleri için zayıf formda piyasa etkinliğini test etmeyi amaçlamaktadır. Bu amaçla, 2011-2021 yılları arasında Dow Jones ve Standard and Poors İslami endekslerinde yer alan 13 endekse ait veriler, Fourier Wavelet ADF (FWADF) birim kök testi kullanılarak test edilmiştir. FWADF testi, bilinmeyen bir sayı, zaman ve formda yapısal kırılmaları dikkate almaktadır. EMH’yi ve İslami endeksleri inceleyen çalışmalar, Wavelet temelli birim kök testlerinde yer alan yumuşak değişiklikleri ve frekans bilgisini dikkate almamaktadır. Bu nedenle, endeks verileriyle ilgili bilgilerin tamamlanmamış olma ihtimali bulunmaktadır. Çalışmamız, hisse senedi endeks verileriyle ilgili tüm bilgileri dikkate alan FWADF testini kullanarak liteatüre katkı sağlamaktadır. Çalışmada, 6 endeksin birim köklü, 7 endeksin ise durağan olduğu tespit edilmiştir. Bu bulgular, analiz edilen bütün gelişmekte olan İslami piyasa endekslerinde piyasa etkinliğinin olduğu, fakat gelişmiş ülke İslami piyasa endekslerinde piyasa etkinliğinin olmadığını göstermektedir. Çalışmanın sonuçları, yatırımcıların ve finansal analistlerin yatırım portföyleri oluştururken kararlarını etkin bir şekilde değerlendirmelerini sağlamak için bir anlayış sağlamaktadır. 

JEL Classification : G11 , C50 , Z12

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APA

Ülev, S., & Selçuk, M. (2022). Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test. Journal of Economic Policy Researches, 9(2), 315-329. https://doi.org/10.26650/JEPR1111585


AMA

Ülev S, Selçuk M. Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test. Journal of Economic Policy Researches. 2022;9(2):315-329. https://doi.org/10.26650/JEPR1111585


ABNT

Ülev, S.; Selçuk, M. Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test. Journal of Economic Policy Researches, [Publisher Location], v. 9, n. 2, p. 315-329, 2022.


Chicago: Author-Date Style

Ülev, Salih, and Mervan Selçuk. 2022. “Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test.” Journal of Economic Policy Researches 9, no. 2: 315-329. https://doi.org/10.26650/JEPR1111585


Chicago: Humanities Style

Ülev, Salih, and Mervan Selçuk. Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test.” Journal of Economic Policy Researches 9, no. 2 (Aug. 2022): 315-329. https://doi.org/10.26650/JEPR1111585


Harvard: Australian Style

Ülev, S & Selçuk, M 2022, 'Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test', Journal of Economic Policy Researches, vol. 9, no. 2, pp. 315-329, viewed 17 Aug. 2022, https://doi.org/10.26650/JEPR1111585


Harvard: Author-Date Style

Ülev, S. and Selçuk, M. (2022) ‘Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test’, Journal of Economic Policy Researches, 9(2), pp. 315-329. https://doi.org/10.26650/JEPR1111585 (17 Aug. 2022).


MLA

Ülev, Salih, and Mervan Selçuk. Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test.” Journal of Economic Policy Researches, vol. 9, no. 2, 2022, pp. 315-329. [Database Container], https://doi.org/10.26650/JEPR1111585


Vancouver

Ülev S, Selçuk M. Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test. Journal of Economic Policy Researches [Internet]. 17 Aug. 2022 [cited 17 Aug. 2022];9(2):315-329. Available from: https://doi.org/10.26650/JEPR1111585 doi: 10.26650/JEPR1111585


ISNAD

Ülev, Salih - Selçuk, Mervan. Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test”. Journal of Economic Policy Researches 9/2 (Aug. 2022): 315-329. https://doi.org/10.26650/JEPR1111585



TIMELINE


Submitted30.04.2022
Accepted22.06.2022
Published Online29.07.2022

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