新冠肺炎与亚洲新兴市场的信息效率：传统股票和符合伊斯兰教法股票的比较研究

IF 2.8 3区经济学 Q2 BUSINESS, FINANCE

International Journal of Islamic and Middle Eastern Finance and Management Pub Date : 2022-12-01 DOI:10.1108/imefm-01-2022-0041

Muhammad Wajid Raza, Bahrawar Said, A. Elshahat

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引用次数: 2

摘要

目的本研究旨在对中国、马来西亚和巴基斯坦三个新兴市场的Shariah合规股票和传统股票的信息效率和违规行为水平进行比较研究。为新冠肺炎大流行造成的危机前和危机期提供了经验证据。设计/方法论/方法信息效率是使用Kim（2006）开发的方差比（VR）测试来衡量的。近似熵（ApEn）度量用于调查疫情导致的股价异常水平。发现样本中的所有三个新兴市场都不能免受新冠肺炎大流行造成的危机的影响。Shariah合规股票和传统股票的信息效率水平都受到危机的影响。然而，与传统股票更具波动性相比，前者表现出相对较高的信息效率和回报稳定性。实际含义这项研究为市场主体和政策制定者提供了新冠肺炎疫情对符合Shariah标准和传统股票信息效率影响的有力评估。Shariah合规股票相对较高的信息效率表明它们更透明，投资者可以更信任Shariah不合规股票。即使在新冠肺炎这样的动荡时期，这种更高水平的透明度和信任也会带来更稳定的回报和更低的风险。投资者可以通过进行基本面分析和投资指数基金来获得卓越的回报。原创/价值据作者所知，这是第一项强调传统股票和符合伊斯兰教法的股票在新冠肺炎造成的危机时期信息效率差异的研究。与以往的研究不同，本研究使用了企业层面的数据，从而能够对企业的信息效率进行明智的评估。

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Covid-19 and informational efficiency in Asian emerging markets: a comparative study of conventional and Shariah-compliant stocks

Purpose This study aims to provide a comparative insight into the level of informational efficiency and irregularities of Shariah-compliant stocks and conventional stocks in three emerging markets, namely, China, Malaysia and Pakistan. The empirical evidence is provided for pre-crisis and crisis periods caused by the Covid-19 pandemic. Design/methodology/approach Informational efficiency is measured using the variance ratio (VR) Test developed by Kim (2006). The Approximate Entropy (ApEn) Metrics is used to investigate the level of irregularities in stock prices caused by the pandemic. Findings All the three emerging markets in the sample are not immune to the crisis caused by Covid-19 pandemic. The level of informational efficiency of both the Shariah-compliant and conventional stock is affected by the crisis. However, the former exhibits relatively high level of informational efficiency and stability in returns as compared to more volatility of conventional stocks. Practical implications This study provides market agents and policy makers with a robust assessment of the impact of the Covid-19 pandemic on informational efficiency of Shariah-compliant and conventional stocks. Relatively high informational efficiency of Shariah-compliant stocks indicates that they are more transparent and that investors can trust the Shariah-compliant stocks more. This higher level of transparency and trust leads to more steady returns and lower levels of risk even during turbulent time like Covid-19. Investors can gain superior returns by conducting fundamental analysis and investing in index funds. Originality/value To the best of the authors’ knowledge, this is the first study that highlights the difference in informational efficiency of conventional stocks and Shariah-compliant stocks in the crisis period caused by Covid-19. Unlike previous studies, this study uses firm level data which enables firm-wise assessment of informational efficiency.

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来源期刊

International Journal of Islamic and Middle Eastern Finance and Management Multiple-

CiteScore

5.40

自引率

10.00%

发文量

期刊介绍： The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.