A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic

International Economics Pub Date : 2023-11-15 DOI:10.1016/j.inteco.2023.100463

Syed Ali Raza , Nida Shah , Muhammed Tahir Suleman

{"title":"A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic","authors":"Syed Ali Raza , Nida Shah , Muhammed Tahir Suleman","doi":"10.1016/j.inteco.2023.100463","DOIUrl":null,"url":null,"abstract":"<div><p>This paper examines the efficiency of DJIM conventional and Islamic sectoral stock markets before and during the Covid-19 period. The study uses both sectoral stock markets' daily data from January 1, 2010, to August 1, 2022, and relies on the multifractal detrended fluctuation analysis (MF-DFA). Firstly, we find that the conventional and Islamic sectoral stock markets are multifractal in the short and long run. Secondly, conventional and Islamic sectoral stock markets are characterized by long-term memory features in small fluctuations. Thirdly, in terms of efficiency before the Covid-19 period, in the Islamic sectoral market, the healthcare sector is the most efficient in the short run, and the financial sector is the most efficient in the long run. During the Covid-19 period, in the conventional sectoral market, the financial sector was the most efficient in the short run, and the utility sector was the most efficient in the long run.</p></div>","PeriodicalId":13794,"journal":{"name":"International Economics","volume":"177 ","pages":"Article 100463"},"PeriodicalIF":0.0000,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2110701723000756/pdfft?md5=cc3c8784b2a9cc81b44312e7a16f2a8d&pid=1-s2.0-S2110701723000756-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Economics","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2110701723000756","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

Abstract

This paper examines the efficiency of DJIM conventional and Islamic sectoral stock markets before and during the Covid-19 period. The study uses both sectoral stock markets' daily data from January 1, 2010, to August 1, 2022, and relies on the multifractal detrended fluctuation analysis (MF-DFA). Firstly, we find that the conventional and Islamic sectoral stock markets are multifractal in the short and long run. Secondly, conventional and Islamic sectoral stock markets are characterized by long-term memory features in small fluctuations. Thirdly, in terms of efficiency before the Covid-19 period, in the Islamic sectoral market, the healthcare sector is the most efficient in the short run, and the financial sector is the most efficient in the long run. During the Covid-19 period, in the conventional sectoral market, the financial sector was the most efficient in the short run, and the utility sector was the most efficient in the long run.

查看原文本刊更多论文

2019冠状病毒病大流行期间伊斯兰和传统金融市场效率的多重分形趋势波动分析

本研究考察了DJIM传统和伊斯兰行业股票市场在2019冠状病毒病之前和期间的效率。本研究使用了2010年1月1日至2022年8月1日这两个行业股票市场的每日数据，并应用了多重分形趋势波动分析(MF-DFA)。该研究考察了短期和长期之间的市场效率。研究结果总结如下。首先，研究证实了传统和伊斯兰行业股票市场在两个时期都是多重分形的。第二，传统和伊斯兰部门股票市场都具有长期记忆的特点，在这两个时期都有小幅波动。第三，从新冠疫情前的效率来看，在伊斯兰行业市场中，医疗行业短期效率最高，金融行业长期效率最高。而在新冠肺炎疫情期间，在传统行业市场中，金融部门短期效率最高，公用事业部门长期效率最高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊