Does Islamic stock sensitivity to oil prices have economic significance?

Narayan, Paresh Kumar and Phan, Dinh Hoang Bach and Sharma, Susan Sunila,(2019), Does Islamic stock sensitivity to oil prices have economic significance? , Pacific-Basin Finance Journal 53 (2019) 497–512, UNSPECIFIED

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Abstract

This paper uses an extensive new dataset of 2178 Islamic stocks with historical monthly data (1986–2014) and examines their sensitivity to oil price changes. We find that only around 32% of these stocks react statistically significantly to oil prices, dispelling the common notion that oil prices affect the stock market homogeneously. We show that trading on oil price sensitivity offers investors annualized profits in the range of 5.8–13.6%. These results pass multiple robustness tests.
Keywords : Islamic stocks Oil prices Trading Profits, UNSPECIFIED
Journal or Publication Title: Pacific-Basin Finance Journal 53 (2019) 497–512
Volume: 53
Number: UNSPECIFIED
Item Type: Article
Subjects: Ekonomi Islam
Depositing User: Nila Nurjanah
Date Deposited: 19 Dec 2019 05:40
Last Modified: 19 Dec 2019 05:40
URI: https://repofeb.undip.ac.id/id/eprint/397

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