Weak-form efficiency of shariah-compliant finance stocks: Evidence from KLSE of Malaysia

Qaiser Munir and Sook, Ching Kok (2022) Weak-form efficiency of shariah-compliant finance stocks: Evidence from KLSE of Malaysia. In: 2022 International Conference on Sustainable Islamic Business and Finance (SIBF), 11-12 October 2022, Sakhir, Bahrain.

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Official URL: https://ieeexplore.ieee.org/document/9940111

Abstract

We examine the weak-form efficient market hypothesis (EMH) for the selected Shariah-compliant finance stocks from the Kuala Lumpur Stock Exchange (KLSE) from 1/17/92 to 8/26/2022. Based on the ADF and artificial neural network (ANN) unit root tests, our results suggest that all three Shariah-compliant stocks are efficient before the COVID-19 period. Our results of ANN test suggest that BURSA and BIMB are inefficient during the COVID-19 period. These results have some notable policy implications.

Item Type:	Conference or Workshop Item (Paper)
Keyword:	EMH, Shariah-compliant, Finance stocks
Subjects:	H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	DG MASNIAH AHMAD -
Date Deposited:	23 Apr 2024 14:48
Last Modified:	23 Apr 2024 14:48
URI:	https://eprints.ums.edu.my/id/eprint/38464

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