Some preliminary evidence of price discovery in Islamic banks
(2018) In Pacific Basin Finance Journal 52. p.107-122- Abstract
In this paper using time-series data for a large number of Islamic bank stocks belonging to eight Islamic countries we test for evidence of price discovery. We find that in each of the eight countries there appears a bank that dominates the price discovery process. We then utilize this information on price discovery to form a portfolio of price discovery dominating bank stocks and compare its performance with portfolios of banks characterized by country and volatility. We show that buying a portfolio of price discovery dominant banks and selling most of the country-specific and volatility portfolios allow an investor to maximise profits or minimise loss. Our results are (a) robust to non-Islamic banks and to a larger sample of combined... (More)
In this paper using time-series data for a large number of Islamic bank stocks belonging to eight Islamic countries we test for evidence of price discovery. We find that in each of the eight countries there appears a bank that dominates the price discovery process. We then utilize this information on price discovery to form a portfolio of price discovery dominating bank stocks and compare its performance with portfolios of banks characterized by country and volatility. We show that buying a portfolio of price discovery dominant banks and selling most of the country-specific and volatility portfolios allow an investor to maximise profits or minimise loss. Our results are (a) robust to non-Islamic banks and to a larger sample of combined Islamic and non-Islamic banks, and (b) suggest that economic significance of price discovery is stronger for non-Islamic banks.
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- author
- Narayan, Paresh Kumar ; Sharma, Susan Sunila ; Thuraisamy, Kannan Sivananthan and Westerlund, Joakim LU
- organization
- publishing date
- 2018
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Bank stocks, Islamic countries, Portfolio, Price discovery, Profits
- in
- Pacific Basin Finance Journal
- volume
- 52
- pages
- 107 - 122
- publisher
- Elsevier
- external identifiers
-
- scopus:85039707512
- ISSN
- 0927-538X
- DOI
- 10.1016/j.pacfin.2017.12.007
- language
- English
- LU publication?
- yes
- id
- 3ad50f3e-6017-4781-b67c-736344e15651
- date added to LUP
- 2018-01-10 09:38:22
- date last changed
- 2022-04-25 04:51:00
@article{3ad50f3e-6017-4781-b67c-736344e15651,
abstract = {{<p>In this paper using time-series data for a large number of Islamic bank stocks belonging to eight Islamic countries we test for evidence of price discovery. We find that in each of the eight countries there appears a bank that dominates the price discovery process. We then utilize this information on price discovery to form a portfolio of price discovery dominating bank stocks and compare its performance with portfolios of banks characterized by country and volatility. We show that buying a portfolio of price discovery dominant banks and selling most of the country-specific and volatility portfolios allow an investor to maximise profits or minimise loss. Our results are (a) robust to non-Islamic banks and to a larger sample of combined Islamic and non-Islamic banks, and (b) suggest that economic significance of price discovery is stronger for non-Islamic banks.</p>}},
author = {{Narayan, Paresh Kumar and Sharma, Susan Sunila and Thuraisamy, Kannan Sivananthan and Westerlund, Joakim}},
issn = {{0927-538X}},
keywords = {{Bank stocks; Islamic countries; Portfolio; Price discovery; Profits}},
language = {{eng}},
pages = {{107--122}},
publisher = {{Elsevier}},
series = {{Pacific Basin Finance Journal}},
title = {{Some preliminary evidence of price discovery in Islamic banks}},
url = {{http://dx.doi.org/10.1016/j.pacfin.2017.12.007}},
doi = {{10.1016/j.pacfin.2017.12.007}},
volume = {{52}},
year = {{2018}},
}