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

Authors: Leila Gharbi; Khamoussi Halioui

Addresses: Faculty of Economics Sciences and Management, Department of Accounting, University of Sfax, Tunisia ' Department of Accounting, College of Economics and Administrative Sciences, Islamic University of Imam Muhammed, Riyadh, Saudi Arabia

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 stock returns and investor sentiment are positively and significantly correlated for both Islamic and conventional banking sectors.

Keywords: random walk hypothesis; Dow Jones Islamic Market GCC; Dow Jones GCC Index; market inefficiencies; market illiquidity; investor sentiment; stock markets; market efficiency; Islamic markets; Gulf Cooperation Council; stock returns; investor sentiment; Islamic banking; Islamic finance.

DOI: 10.1504/IJBAF.2014.061449

International Journal of Behavioural Accounting and Finance, 2014 Vol.4 No.2, pp.175 - 186

Received: 13 Dec 2012
Accepted: 12 Dec 2013
Published online: 30 Apr 2015 *

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