Islamic spot and index futures markets: Where is the price discovery?

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

[thumbnail of Islamic Spot Karabiyik.pdf] Text
Restricted to Repository staff only

Download (255kB) | Request a copy

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
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

Actions (login required)

View Item
View Item