Weak-form efficiency of shariah-compliant finance stocks: Evidence from KLSE of Malaysia

• Main Authors: Qaiser Munir, Sook, Ching Kok
• Format: Conference or Workshop Item
• Language: English; English
• Published: 2022
• Subjects: HG4551-4598 Stock exchanges
• Online Access: https://eprints.ums.edu.my/id/eprint/38464/2/ABSTRACT.pdf; https://eprints.ums.edu.my/id/eprint/38464/1/FULLTEXT.pdf; https://eprints.ums.edu.my/id/eprint/38464/; https://ieeexplore.ieee.org/document/9940111
• Institution: Universiti Malaysia Sabah

We examine the weak-form efficient market hypothesis (EMH) for the selected Shariah-compliant finance stocks from the Kuala Lumpur Stock Exchange (KLSE) from 1/17/92 to 8/26/2022. Based on the ADF and artificial neural network (ANN) unit root tests, our results suggest that all three Shariah-compliant stocks are efficient before the COVID-19 period. Our results of ANN test suggest that BURSA and BIMB are inefficient during the COVID-19 period. These results have some notable policy implications.