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Does Islamic stock sensitivity to oil prices have economic significance?

journal contribution
posted on 01.02.2019, 00:00 authored by Paresh Narayan, D H B Phan, Susan SharmaSusan Sharma
This paper uses an extensive new dataset of 2178 Islamic stocks with historical monthly data (1986–2014) and examines their sensitivity to oil price changes. We find that only around 32% of these stocks react statistically significantly to oil prices, dispelling the common notion that oil prices affect the stock market homogeneously. We show that trading on oil price sensitivity offers investors annualized profits in the range of 5.8–13.6%. These results pass multiple robustness tests.

History

Journal

Pacific-Basin finance journal

Volume

53

Pagination

497 - 512

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

0927-538X

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2018, Elsevier B.V.