Narayan, Paresh Kumar and Phan, Dinh Hoang Bach and Sharma, Susan Sunila,(2019), Does Islamic stock sensitivity to oil prices have economic significance? , Pacific-Basin Finance Journal 53 (2019) 497–512, UNSPECIFIED
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Abstract
This paper uses an extensive new dataset of 2178 Islamic stocks with historical monthly data
(1986–2014) and examines their sensitivity to oil price changes. We find that only around 32% of
these stocks react statistically significantly to oil prices, dispelling the common notion that oil
prices affect the stock market homogeneously. We show that trading on oil price sensitivity offers
investors annualized profits in the range of 5.8–13.6%. These results pass multiple robustness
tests.
Keywords : | Islamic stocks Oil prices Trading Profits, UNSPECIFIED |
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Journal or Publication Title: | Pacific-Basin Finance Journal 53 (2019) 497–512 |
Volume: | 53 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 19 Dec 2019 05:40 |
Last Modified: | 19 Dec 2019 05:40 |
URI: | https://repofeb.undip.ac.id/id/eprint/397 |