Some preliminary evidence of price discovery in Islamic banks

Narayan, Paresh Kumar and Sharma, Susan Sunila and Thuraisamy, Kannan Sivananthan,(2018), Some preliminary evidence of price discovery in Islamic banks. , Pacific-Basin Finance Journal, UNSPECIFIED

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In this paper using time-series data for a large number of Islamic bank stocks belonging to eight Islamic countries we test for evidence of price discovery. We find that in each of the eight countries there appears a bank that dominates the price discovery process. We then utilize this information on price discovery to form a portfolio of price discovery dominating bank stocks and compare its performance with portfolios of banks characterized by country and volatility. We show that buying a portfolio of price discovery dominant banks and selling most of the countryspecific and volatility portfolios allow an investor to maximise profits or minimise loss. Our results are (a) robust to non-Islamic banks and to a larger sample of combined Islamic and non- Islamic banks, and (b) suggest that economic significance of price discovery is stronger for non- Islamic banks.
Keywords : Price discovery Bank stocks Islamic countries Portfolio Profits, UNSPECIFIED
Journal or Publication Title: Pacific-Basin Finance Journal
Volume: 52
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 20 Dec 2019 02:59
Last Modified: 20 Dec 2019 02:59

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