Predictability dynamics of Islamic and conventional equity markets

@inproceedings{Sensoya2015PredictabilityDO,
  title={Predictability dynamics of Islamic and conventional equity markets},
  author={Ahmet Sensoya and Guler Arasb and Erk Hacihasanoglua},
  year={2015}
}
  • Ahmet Sensoya, Guler Arasb, Erk Hacihasanoglua
  • Published 2015
This study undertakes the challenging task of comparing the weak form efficiency of conventional and Islamic equity markets. Using 12 different Dow Jones indexes that cover 16 years of daily data, we compare the time-varying non-linear predictability patterns of conventional market indexes and their Islamic counterparts at country and continent level by using permutation entropy. Accordingly, we find that all indexes in our analysis have different degrees of time-varying predictability and all… CONTINUE READING

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