A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic

This study examines the efficiency of DJIM conventional and Islamic sectoral stock markets before and during the Covid-19 period. The study uses both sectoral stock markets' daily data from January 1, 2010 to August 1, 2022 and applied the multifractal detrended fluctuation analysis (MF-DFA). The study examined the market efficiency between the short term and the long term. The findings are summarized as follows. Firstly, the study confirmed that the conventional and Islamic sectoral stock markets are multifractal in both periods. Secondly, both conventional and Islamic sectoral stock markets are characterized by long-term memory features in small fluctuations in both periods. Thirdly, in terms of efficiency before the Covid-19 period, in the Islamic sectoral market, the health care sector is the most efficient in the short run, and the financial sector is the most efficient in the long run. Whereas during the Covid-19 period, in the conventional sectoral market, the financial sector is the most efficient in the short run, and the utility sector is the most efficient in the long run.