Modeling cross-correlations and efficiency of Islamic and conventional banks from Saudi Arabia: Evidence from MF-DFA and MF-DXA approaches
作者: Walid MensiAtef HamdiSyed Jawad Hussain ShahzadMuhammad ShafiullahKhamis Hamed Al-Yahyaee
作者单位: 1Department of Finance and Accounting, University of Tunis El Manar, Tunis, Tunisia
2Department of Economics and Finance, College of Economics and Political Science, Sultan Qaboos University, Muscat, Oman
3Department of Finance and Investment, College of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), P.O. Box 5701, Riyadh, Saudi Arabia
4Montpellier Business School, Montpellier, France
5School of Economics, University of Nottingham Malaysia Campus, Jalan Broga, 43500 Semenyih, Selangor, Malaysia
刊名: Physica A: Statistical Mechanics and its Applications, 2018, Vol.502 , pp.576-589
来源数据库: Elsevier Journal
DOI: 10.1016/j.physa.2018.02.146
关键词: Efficient market hypothesisBanking sectorRolling window analysisMF-DFAMF-DXA
原始语种摘要: Abstract(#br)This paper analyzes the dynamic efficiency and interdependence of Islamic and conventional banks of Saudi Arabia. This analysis applies the Multifractal Detrended Fluctuation Analysis (MF-DFA) and Multifractal Detrended Cross-Correlation Analysis (MF-DXA) approaches. The MF-DFA results show strong multifractality in the daily returns of Saudi banks. Moreover, all eight banks studied exhibit persistence correlation, which demonstrates inefficiency. The rolling window results show significant change in the inefficiency levels over the time. The cross-correlation analysis between bank-pairs exhibits long term interdependence between most of them. These findings indicate that the banking sector in Saudi Arabia suffers from inefficiency and exhibits long term memory.
全文获取路径: Elsevier  (合作)

  • inefficiency 低效率
  • DFA Distributed Function Architecture
  • banks 管束
  • sector 
  • returns 返回粉末
  • banking 筑堤
  • market 市场
  • correlation 对比
  • analysis 分析
  • hypothesis 假说