Are Islamic Stock Returns Predictable? A Global Perspective
(2016) In Pacific Basin Finance Journal 40(A). p.210-223- Abstract
- 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... (More)
- 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. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4003a0de-c9f4-4539-8982-c68720099bef
- author
- Westerlund, Joakim LU ; Narayan, Paresh ; Sharma, Susan and Phan, Dinh
- organization
- publishing date
- 2016
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Islamic stocks, Predictability, Returns, Profits
- in
- Pacific Basin Finance Journal
- volume
- 40
- issue
- A
- pages
- 14 pages
- publisher
- Elsevier
- external identifiers
-
- wos:000389092200014
- scopus:85028274703
- ISSN
- 0927-538X
- DOI
- 10.1016/j.pacfin.2016.08.008
- language
- English
- LU publication?
- yes
- id
- 4003a0de-c9f4-4539-8982-c68720099bef
- date added to LUP
- 2016-10-28 11:50:05
- date last changed
- 2022-03-16 17:05:46
@article{4003a0de-c9f4-4539-8982-c68720099bef,
abstract = {{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.}},
author = {{Westerlund, Joakim and Narayan, Paresh and Sharma, Susan and Phan, Dinh}},
issn = {{0927-538X}},
keywords = {{Islamic stocks; Predictability; Returns; Profits}},
language = {{eng}},
number = {{A}},
pages = {{210--223}},
publisher = {{Elsevier}},
series = {{Pacific Basin Finance Journal}},
title = {{Are Islamic Stock Returns Predictable? A Global Perspective}},
url = {{http://dx.doi.org/10.1016/j.pacfin.2016.08.008}},
doi = {{10.1016/j.pacfin.2016.08.008}},
volume = {{40}},
year = {{2016}},
}