海湾合作委员会地区信息市场效率:伊斯兰市场与传统市场的比较研究

2013 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO) Pub Date : 2013-04-28 DOI:10.1109/ICMSAO.2013.6552720

Gharbi Leila, Halioui Khamoussi

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引用次数: 1

摘要

本文考察了海湾合作委员会地区伊斯兰市场和传统市场的信息市场效率。它的目的是调查伊斯兰市场是否比传统市场更有效率。结果表明，道琼斯伊斯兰市场指数和道琼斯海湾合作指数均表现出随机游走的特征。然而，我们发现市场非流动性变量对伊斯兰股票价格的影响，但与传统银行业相比，影响程度较小。还可以观察到，投资者情绪在解释伊斯兰和传统银行部门的股票价格方面具有很大的解释力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Informational market efficiency in GCC region: A comparative study between Islamic and conventional markets

This paper examines the informational market efficiency in the Islamic and conventional markets in the Gulf Cooperation Council (GCC) region. It aims to investigate whether Islamic markets would be more or less efficient than the conventional ones. Findings indicate that both Dow Jones Islamic Market GCC and Dow Jones GCC Indexes show characteristics of random walk. However, we find an impact of market illiquidity variable on Islamic stock prices but with small extent compared with conventional banking sectors. It is also observed that investor sentiment takes a large explanatory power in the explanation of the stock prices for both Islamic and conventional banking sectors.

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2013 5th International Conference on Modeling, Simulation and Applied Optimization (ICMSAO)

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