Karabiyik, Hande and Narayan, Paresh Kumar and Phan, Dinh Hoang Bach and Westerlund, Joakim,(2018), Islamic spot and index futures markets: Where is the price discovery? , Pacific-Basin Finance Journal 52 (2018) 123–133, UNSPECIFIED
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Abstract
This paper examines the source of price discovery for Islamic stocks. We pair a large number of
Islamic stocks to country-specific index futures and estimate price discovery using a vector error
correction model. The results obtained using data for 19 countries suggest that for most countries
(63% of the sample) price discovery is dominated by the spot market. We show that for these
countries, a mean-variance investor makes annualized average profit of 4.91% compared to an
average buy-and-hold profit of 2.97% per annum
Keywords : | Price discovery Asset pricing Islamic stocks Predictive regression Investors, UNSPECIFIED |
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Journal or Publication Title: | Pacific-Basin Finance Journal 52 (2018) 123–133 |
Volume: | 52 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 26 Dec 2019 08:26 |
Last Modified: | 26 Dec 2019 08:26 |
URI: | https://repofeb.undip.ac.id/id/eprint/934 |