Ftiti, Zied and Hadhri, Sinda,(2019), Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective. , Pacific-Basin Finance Journal, UNSPECIFIED
Text
Restricted to Repository staff only
Download (1MB) | Request a copy
Restricted to Repository staff only
Download (1MB) | Request a copy
Abstract
This study investigates the causal relationships between economic policy uncertainty, oil prices,
investor sentiment, and stock returns of nine Dow Jones Islamic Market Indices. Specifically, this
study analyzes the causal effect of these variables on Islamic stock returns at different time scales
using the ensemble empirical mode decomposition model. First, we decompose the economic
policy uncertainty proxy, oil prices, and investor sentiment into different independent components
called intrinsic mode functions (IMFs): short-term IMFs designate the effects of irregular
events; medium-term IMFs present the effects of extreme events; and long-term IMFs capture
long-term effects. Second, we employ a nonlinear non-parametric causality model to test the
causal relationship between different variables and Islamic stock returns at both the original and
decomposed levels. We find causal relationships between the underlying variables and Islamic
stock returns in several time frequencies rather than in the whole sample period. Our results
suggest that the use of lagged economic policy uncertainty, oil prices, and investor sentiment may
improve the predictability of Islamic stock returns. A test of forecast accuracy indicated the
robustness of our results.
Keywords : | Economic policy uncertainty Oil prices Investor sentiment Islamic stock returns Ensemble empirical mode decomposition, UNSPECIFIED |
---|---|
Journal or Publication Title: | Pacific-Basin Finance Journal |
Volume: | 53 |
Number: | UNSPECIFIED |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 17 Dec 2019 04:57 |
Last Modified: | 17 Dec 2019 04:57 |
URI: | https://repofeb.undip.ac.id/id/eprint/310 |