Title: Do shocks to Islamic stock index prices have transitory effects?

Authors: Muneer Shaik

Addresses: School of Management, Mahindra University, Hyderabad, Telangana, India

Abstract: The primary objective of this study is to investigate whether shocks to Islamic stock index prices have transitory or permanent effects by means of structural break unit root tests. The study conducts a comprehensive empirical work on weekly and monthly frequency data of 12 major global Islamic stock indices spread across developed and emerging nations like the USA, Turkey, Qatar, Oman, Indonesia, Malaysia, Thailand, India, Taiwan, China, World and Asia Pacific index. Overall, our study finds that the shocks to Islamic stock index prices have only transitory effects for both monthly and weekly data except for the Thailand sharia stock index which has a permanent effect only in the case of weekly data. We also associate the identified break dates with major global economic, political and financial events. The study is particularly essential for risk management and practitioners who develop forecast models based on Islamic indices.

Keywords: unit root tests; structural breaks; permanent effects; transitory effects; weak form efficiency; Islamic shariah stock index.

DOI: 10.1504/IJFMD.2022.126009

International Journal of Financial Markets and Derivatives, 2022 Vol.8 No.4, pp.336 - 358

Received: 19 Jul 2021
Accepted: 20 Feb 2022
Published online: 06 Oct 2022 *

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