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Are Islamic stock returns predictable? : a global perspective

Narayan, Paresh Kumar, Phan, Dinh Hoang Bach, Sharma, Susan Sunila and Westerlund, Joakim 2016, Are Islamic stock returns predictable? : a global perspective, Pacific-basin finance journal, vol. 40, no. Part A, pp. 210-223, doi: 10.1016/j.pacfin.2016.08.008.

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Title Are Islamic stock returns predictable? : a global perspective
Author(s) Narayan, Paresh Kumar
Phan, Dinh Hoang Bach
Sharma, Susan Sunila
Westerlund, Joakim
Journal name Pacific-basin finance journal
Volume number 40
Issue number Part A
Start page 210
End page 223
Total pages 14
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-12
ISSN 0927-538X
Summary 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.
Language eng
DOI 10.1016/j.pacfin.2016.08.008
Field of Research 150202 Financial Econometrics
1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier B.V
Persistent URL http://hdl.handle.net/10536/DRO/DU:30090196

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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