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Do Islamic Stock Indices Follow the Adaptive Market Hypothesis Using an Artificial Neural Network Approach? |
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| รหัสดีโอไอ | |
| Creator | Muhammad Shariq, Muhammad Ashfaq, Usman Ayub, Attayah Shafique, and Sidra Israr Bukhari |
| Title | Do Islamic Stock Indices Follow the Adaptive Market Hypothesis Using an Artificial Neural Network Approach? |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2565 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 13 |
| Journal No. | 10 |
| Page no. | 13A10E: 1-13 |
| Keyword | Efficient market hypothesis (EMH), Behavioral finance, Varying efficiency, Inefficiency of market index, Islamic market, Adaptive market hypothesis (AMH). |
| URL Website | http://TuEngr.com/Vol13_8.html |
| Website title | ITJEMAST V13(8) 2022 @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | The purpose of this study is to determine the existence of the adaptive market hypothesis (AMH) in Islamic stock indices as a growing substitute to efficient market hypothesis (EMH) by employing monthly returns of Karachi Meezan Index 30 and S&P 500 Shariah are used which cover three main regions of capital investments. To fulfill the purpose, monthly returns from 2010 to 2019 are inspected. Artificial Neural Network Approach and Rolling Window Analysis are applied in this study. Hence, the outcomes show markets' efficiency after some time, which bolsters the AMH in Islamic markets. The essential outcome is that the Islamic stock exchanges accomplished noteworthy cyclical patterns of predictable and non-predictable returns over the period which bolsters the AMH idea. The research outcomes would provide help to brokers and portfolio managers as well as investors to encapsulate valuable returns over Islamic markets. |
