Islamic spot and index futures markets : Where is the price discovery?
(2018) In Pacific Basin Finance Journal 52. p.123-133- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/cb7d4ad5-c082-4295-a007-6dc25d29fcdb
- author
- Karabiyik, Hande LU ; Narayan, Paresh Kumar ; Phan, Dinh Hoang Bach and Westerlund, Joakim LU
- organization
- publishing date
- 2018
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Asset pricing, Investors, Islamic stocks, Predictive regression, Price discovery
- in
- Pacific Basin Finance Journal
- volume
- 52
- pages
- 123 - 133
- publisher
- Elsevier
- external identifiers
-
- scopus:85018767409
- ISSN
- 0927-538X
- DOI
- 10.1016/j.pacfin.2017.04.003
- language
- English
- LU publication?
- yes
- id
- cb7d4ad5-c082-4295-a007-6dc25d29fcdb
- date added to LUP
- 2017-05-24 14:11:48
- date last changed
- 2022-03-24 18:47:03
@article{cb7d4ad5-c082-4295-a007-6dc25d29fcdb, abstract = {{<p>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.</p>}}, author = {{Karabiyik, Hande and Narayan, Paresh Kumar and Phan, Dinh Hoang Bach and Westerlund, Joakim}}, issn = {{0927-538X}}, keywords = {{Asset pricing; Investors; Islamic stocks; Predictive regression; Price discovery}}, language = {{eng}}, pages = {{123--133}}, publisher = {{Elsevier}}, series = {{Pacific Basin Finance Journal}}, title = {{Islamic spot and index futures markets : Where is the price discovery?}}, url = {{http://dx.doi.org/10.1016/j.pacfin.2017.04.003}}, doi = {{10.1016/j.pacfin.2017.04.003}}, volume = {{52}}, year = {{2018}}, }