İslam İşbirliği Teşkilatı'na üye ülkelerde zamanla değişen piyasa etkinliğinin incelenmesi: Küresel finansal kriz ile COVID-19 dönemlerinin karşılaştırılması

This research aims to examine the time-varying market efficiency of the stock markets of 15 member countries of the Organization of Islamic Cooperation (OIC), including Indonesia, Malaysia, Turkey, Pakistan, Jordan, Egypt, UAE, Kuwait, Morocco, Tunisia, Saudi Arabia, Lebanon, Qatar, Oman and Palestine, at the aggregate and sectoral (such as healthcare, real estate, consumer staples, banking, communication services and industrial indices) level during the COVID-19 and global financial crisis (GFC) periods i.e. from 1st January, 2020 to 31st December, 2021 and from 1st July, 2007 to 30 June, 2009 respectively within the framework of the adaptive market hypothesis. In this context, this research employs multifractal detrended fluctuation analysis to illustrate multifractality and short- and long-term dependence. The findings of the research highlight that most of the indices of OIC countries exhibited persistent behavior along with multifractal characteristics during COVID-19. In contrast, anti-persistence behavior has been seen during the GFC in most of the indices. Moreover, sectoral analyses show that for most countries, the highest persistence during the COVID-19 period was in the real estate sector, and unlike the persistence during COVID-19, there was no persistence in certain sectors during the GFC. Conclusively, this research reveals the notable influence of fat-tailed distributions on multifractality across diverse sectors. The findings confirm the principles of the adaptive market hypothesis, which points to the fluctuation of arbitrage opportunities over time and provide vital information for shaping policies in anticipating future pandemic-induced economic crises. These findings will have several important implications for the asset allocations of investors in OIC stock markets. When examine the most and least efficient countries during the COVID-19 and GFC periods, The results find that the most efficient countries in the GFC period are Palestine and Turkey with MDM values of 0.049 and 0.103, respectively, while the least efficient countries are Jordan and Lebanon with MDM values of 0.331 and 0.289, respectively. Furthermore, the research discovers that the most efficient countries in the COVID-19 period are Kuwait and Qatar, whereas the least efficient countries are Lebanon and Turkey. Analyzing the market efficiency levels of countries from a sectoral perspective, the research observes that during the GFC, sectors such as healthcare in Egypt and communications in Jordan operated at the lowest level of efficiency; at the same time, the real estate sector stood out as the most efficient sector in many countries. In addition, it is concluded that the banking sectors in Morocco and the UAE struggled in both crises, reflecting consistent difficulties during economic downturns. Keywords: COVID-19, MF-DFA, Organization of Islamic Cooperation, Financial Crisis, Market Efficiency, Global Financial Crisis.