Efficiency of Bursa Malaysia

: analysing islamic indices and their counterparties

Abstract

Although Islamic capital markets are considered an emerging market, the improvement is significantly high which requires permanent study. In this empirical study, we go through the Malaysian index using the daily data of the FTSE Bursa Malaysia composite index (FBMKLCI) and two Shariah indices FTSE Bursa Malaysia (EMAS Shariah and HIJRA Shariah). First we analyse the efficient market hypothesis in the weak form using variance ratio and unit root test. Our results show that both markets (Shariah and conventional) are (in)efficient and the investors are able to gain an abnormal return using historical data. Furthermore, we test the co-integration between the three indices for diversification opportunity. Results shows a new evidence that the market has no co-integration and there is a diversification opportunity on both short and long term. Therefore, prediction of an index based on the other is not possible.

Date of Award	22 Jul 2016
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Ricardo Cunha (Supervisor) & Paulo Alves (Co-Supervisor)