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

Author

Leila, Gharbi ; Khamoussi, Halioui

Author_Institution

Dept. of Accounting, Fac. of Econ. Sci. & Manage. of Sfax, Sfax, Tunisia

fYear

2013

fDate

28-30 April 2013

Firstpage

1

Lastpage

5

Abstract

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.

Keywords

banking; investment; pricing; stock markets; Dow Jones GCC index; Dow Jones Islamic Market GCC; GCC region; Gulf Cooperation Council region; Islamic banking sector; Islamic stock prices; conventional banking sectors; conventional markets; informational market efficiency; investor sentiment; market illiquidity variable; random walk characteristics; Banking; Correlation; Finance; Indexes; Market research; Stock markets; Dow Jones GCC Index; Dow Jones Islamic Market GCC; Investor sentiment; Investors´rationality; Market illiquidity; Market inefficiencies; Random Walk Hypothesis;

fLanguage

English

Publisher

ieee

Conference_Titel

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

Conference_Location

Hammamet

Print_ISBN

978-1-4673-5812-5

Type

conf

DOI

10.1109/ICMSAO.2013.6552720

Filename

6552720