Nabila Jawadi

Are Islamic stock markets efficient? A time-series analysis

This article investigates the weak-form informational efficient hypothesis for three major Islamic stock markets (world, emerging and developed). Unlike previous studies, we applied different parametric and nonparametric tests to investigate efficiency in the short and long horizons. Using recent data over the period May 2002–June 2012, we developed a time-series analysis of Islamic stock price dynamics in the context of the recent global financial crisis (2008–2009). Our analysis offers two interesting results. First, emerging Islamic stock markets seem to be less efficient than developed Islamic markets, suggesting interesting investment opportunities and diversification benefits from this region in both the short run and the long run. Second, nonrejection of the cointegration hypothesis for developed Islamic markets and the global conventional stock market point to efficiency for the former in the long term, even if it is inefficient in the short term. This finding has at least two economic and political implications: (i) investors who seek moderate risk would do well to opt for Islamic funds in developed countries, particularly as they share the same tendency and provide similar expected returns in the long term as conventional funds, (ii) Islamic financial systems can offer a useful model that can help to reform and remodel conventional financial institutions.

An empirical investigation of trust's impact on collective awareness development in virtual teams

This study investigates the relationship between trust and collective awareness levels over time. The study also examines the multi-dimensionality of both trust and collective awareness in virtual teams. Hence, we adopt a longitudinal study to provide a preliminary step towards understanding the dynamic nature of trust and collective awareness in virtual teams. The results of our experiments show that (1) both trust and collective awareness levels increase over time; (2) during the project, task processes are more important than socio-emotional processes; and (3) higher (vs. lower) trust levels are associated with higher (vs. lower) collective awareness levels.

Can the Islamic bank be an emerging leader? A panel data causality analysis

ABSTRACT This short note investigates the ability of Islamic banks (IBs) to play a leading role in revamping and driving conventional banking. To this end, we used a panel of 10 major conventional banks (CBs) and 10 IBs over the period 2006–2013. We applied panel regression tests and carried out a panel causality analysis. Our findings identified no significant causality effect from IBs to CBs and indicated that IBs are not able to play a role of leader.

Does Islamic banking performance vary across regions? A new puzzle

ABSTRACT This article investigates the performance of Islamic banks (IBs) across four different regions (Egypt, the Gulf, the UK and the US) in the aftermath of the subprime crisis. Using daily data and two performance ratio proxies (ROA (Return on Asset) and Tobin Q), we show that the performance of IBs varies significantly from one region to another, with the highest level for regions in the West. This result suggests a new puzzle as application of the same Sharia Board rules and sales of similar products should normally provide comparable performance outcomes for IBs.

Information and Communication Technologies contribution to Microfinance Institutions performance: An empirical investigation of developing and emerging financial markets

The purpose of this research is to analyse how Information and Communication Technologies influence Microfinance Institutions performance on three regards: work efficiency, risk management and customer relationship management. Results of the empirical study show that the implementation of ICT enables MFIs in developing and emerging countries to significantly improve their microfinance services while enhancing work efficiency and customer relationship management. However, no empirical support was found for ICT contribution to risk management or reduction.

Uncertainty assessment in socially responsible and Islamic stock markets in the short and long terms: an ARDL approach

ABSTRACT This study measures financial uncertainty for two classes of alternative financial assets (Dow Jones Islamic and Dow Jones Sustainability Indexes) and the conventional US stock market (Dow Jones Industrial Index) for the period of 1999–2017, using an asymmetric exponential GARCH model. Using an ARDL model, we propose an intertemporal dynamic analysis of uncertainty for Islamic and socially responsible stock markets. Our findings show that, first, conventional and ethical investments present high comparable levels of uncertainty for which the dynamics is time-varying. Second, uncertainty in the conventional US stock market has a significant and positive effect on the uncertainty in alternative stock markets. Thus, uncertainty characterizes conventional and ethical stock markets both in the short and long terms. In particular, while the short-term uncertainty of ethical markets might be associated with their characteristics, the long-term aspect of uncertainty for ethical funds is rather associated with the effect of the conventional stock market environment. Although these findings show mean-reversion and uncertainty spillovers from the alternative stock markets to the conventional US one, they suggest lack of safety and certainty for investments in ethic markets, which remain fragile and closely dependent on the conventional market.

Toward a new deal for Saudi Arabia: oil or Islamic stock market investment?

ABSTRACT Amid the ongoing national development programme of Saudi Arabia, Saudi Vision 2030, a large trade openness plan to reduce Saudi Arabia’s dependence on oil and to diversify its economy is announced. This study investigates whether or not the related diversification option through openness towards the Islamic stock market would benefit Saudi Arabia’s economy. To this end, we consider data on oil price and Islamic stock investment, evaluate their interactions through vector autoregressive modelling and estimate the impulse response functions. Further, we perform portfolio simulations and measure further diversification benefits. First, we find that the risk of the economy’s dependency on the crude oil industry is not rejected, given the recent strong deterioration of oil returns. Second, the portfolio simulations highlight that the consideration of investment in Islamic stock shares not only generates diversification benefits but also provides a portfolio with the highest returns and lowest financial risk, for which we compute the optimal composition. Third, the analysis of the impulse response functions shows that the investment in the Islamic stock market in Saudi Arabia implies positive effects on the oil industry, which is a priori favourable to the recent challenge of undertaking the national development programme, Saudi Vision 2030.

Information technology sector and equity markets: an empirical investigation

The aim of this article is to study linkages between equity and information technology sector prices. We thus investigate the price adjustment dynamics of the Information Technology (IT) sector in response to the 2007–2009 worldwide market shock for two representative developed countries (France and the USA). Using a Vector Autoregression (VAR) methodology and different econometric specifications of a smooth transition Error-Correction Model (ECM), we find significant price reactions from the USA and French IT sectors to changes in the global capital markets over the period between 11 February 2005 and 9 July 2009. The IT price response is however stronger for the USA than for France. The empirical results suggest that the IT price convergence process towards equilibrium is typically asymmetric and nonlinearly mean-reverting for the USA.