دانلود مقاله ISI انگلیسی شماره 83381
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
83381 2018 31 صفحه PDF سفارش دهید 6577 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Modeling cross-correlations and efficiency of Islamic and conventional banks from Saudi Arabia: Evidence from MF-DFA and MF-DXA approaches
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Physica A: Statistical Mechanics and its Applications, Volume 502, 15 July 2018, Pages 576-589

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چکیده انگلیسی

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.

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