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 KumarORCID iD for Narayan, Paresh Kumar
Phan, Dinh Hoang Bach
Sharma, Susan SunilaORCID iD for Sharma, Susan Sunila
Westerlund, JoakimORCID iD for 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
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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