Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?

Zaremba, Adam and Karathanasopoulos, Andreas and Maydybura, Alina and Czapkiewicz, Anna,(2018), Dissecting anomalies in Islamic stocks: Integrated or segmented pricing? , Pacific-Basin Finance Journal, UNSPECIFIED

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Is asset pricing integrated across Islamic and non-Islamic stocks? To answer this question, we identify and replicate 167 equity anomalies from the finance literature in over 1500 stocks from the Middle East equity markets for years 1997–2017. To determine whether Islamic or marketwide factors better explain the cross-section of returns, we evaluate their performance with the CAPM (Sharpe, 1964), Fama and French (1993) three-factor model, Carhart (1997) four-factor model, and Fama and French (2015) five-factor model. Only 27 of the anomalies prove profitable. The five-factor model copes best with the cross-section of returns, confirming its superiority over other models. The Islamic factors better explain the cross-section of returns than the marketwide factors, pointing to at least a partial market segmentation. The results are verified by a batter of additional tests, including cross-sectional regressions, examination of one-way and twoway sorted portfolios, tests for monotonic relationships, and factor redundancy checks
Keywords : Islamic finance Shariah-compliant stocks Asset pricing Equity anomalies Market integration Cross-section of returns Multifactor models, UNSPECIFIED
Journal or Publication Title: Pacific-Basin Finance Journal
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 27 Dec 2019 09:19
Last Modified: 27 Dec 2019 09:19
URI: https://repofeb.undip.ac.id/id/eprint/1109

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