Informational market efficiency in GCC region: a comparative study between Islamic and conventional markets
by Leila Gharbi; Khamoussi Halioui
International Journal of Behavioural Accounting and Finance (IJBAF), Vol. 4, No. 2, 2014

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.

Online publication date: Thu, 30-Apr-2015

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