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

This paper 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 relies on the multifractal detrended fluctuation analysis (MF-DFA). Firstly, we find that the conventional and Islamic sectoral stock markets are multifractal in the short and long run. Secondly, conventional and Islamic sectoral stock markets are characterized by long-term memory features in small fluctuations. Thirdly, in terms of efficiency before the Covid-19 period, in the Islamic sectoral market, the healthcare sector is the most efficient in the short run, and the financial sector is the most efficient in the long run. During the Covid-19 period, in the conventional sectoral market, the financial sector was the most efficient in the short run, and the utility sector was the most efficient in the long run.