International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies


:: International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies

ISSN 2228-9860
eISSN 1906-9642



  • Do Islamic Stock Indices Follow the Adaptive Market Hypothesis Using an Artificial Neural Network Approach?

    Muhammad Shariq (Nust Business School, National University of Sciences &Technology, Islamabad, PAKISTAN),
    Muhammad Ashfaq (Department of Finance and Accounting, IU International University of Applied Sciences, GERMANY),
    Usman Ayub (Department of Management Sciences, COMSATS University Islamabad, PAKISTAN),
    Attayah Shafique (Department of Management Sciences, COMSATS University Islamabad, PAKISTAN and Department of Communication and Management Sciences, Pakistan Institute of Engineering and Applied Sciences, Islamabad, PAKISTAN),
    Sidra Israr Bukhari (Department of Management Sciences, COMSATS University Islamabad, PAKISTAN).

    Discipline: Management Sciences (Finance), Data Science & Deep Learning.

    ➤ FullText

    doi: 10.14456/ITJEMAST.2022.194

    Keywords: Efficient market hypothesis (EMH); Behavioral finance; Varying efficiency; Inefficiency of market index; Islamic market; Adaptive market hypothesis (AMH).

    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.

    Paper ID: 13A10E

    Cite this article:

    Shariq, M., Ashfaq, M., Ayub, U., Shafique. A., and Bukhari, S.I. (2022). Do Islamic Stock Indices Follow the Adaptive Market Hypothesis Using an Artificial Neural Network Approach?. International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 13(10), 13A10E, 1-9. http://TUENGR.COM/V13/13A10E.pdf DOI: 10.14456/ITJEMAST.2022.194


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