Are Islamic stock returns predictable? A global perspective

Kumar Narayan, Paresh and Hoang Bach Phan, Dinh and Sunila Sharma, Susan and Westerlund, Joakim,(2016), Are Islamic stock returns predictable? A global perspective. , Pacific- asin Finance Journal, UNSPECIFIED

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Using the sharia-compliant measures, we compile a data set that spans January 1981 to December 2014 and contains 2577 Islamic stocks. Using as many as 12 financial and macroeconomic predictors, we discover strong evidence of both in-sample and out-of-sample return predictability. There is robust evidence of predictability only when U.S. stock returns are used as a predictor. We find that investing in regional (industry) portfolios offers on average, across the 12 predictors, meaningful profits of 6.16% (6.03%) per annum. Investing in a portfolio of Islamic stocks belonging to emerging markets (9.89% per annum) and a portfolio of Islamic stocks belonging to the consumer goods sector (6.37% per annum) offers the most returns amongst regions and industries, respectively.
Keywords : Islamic stocks; Predictability; Returns; Profits, UNSPECIFIED
Journal or Publication Title: Pacific- asin Finance Journal
Volume: 40
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Heru Prastyo
Date Deposited: 23 Dec 2019 07:12
Last Modified: 23 Dec 2019 07:12

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