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Islamic spot and index futures markets : Where is the price discovery?

Karabiyik, Hande LU ; Narayan, Paresh Kumar; Phan, Dinh Hoang Bach and Westerlund, Joakim LU (2016) In Pacific Basin Finance Journal
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.

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author
organization
publishing date
type
Contribution to journal
publication status
epub
subject
keywords
Asset pricing, Investors, Islamic stocks, Predictive regression, Price discovery
in
Pacific Basin Finance Journal
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
2017-05-24 14:11:48
@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},
  keyword      = {Asset pricing,Investors,Islamic stocks,Predictive regression,Price discovery},
  language     = {eng},
  month        = {04},
  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},
  year         = {2016},
}