Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Some preliminary evidence of price discovery in Islamic banks
Author
Summary, in English
In this paper using time-series data for a large number of Islamic bank stocks belonging to eight Islamic countries we test for evidence of price discovery. We find that in each of the eight countries there appears a bank that dominates the price discovery process. We then utilize this information on price discovery to form a portfolio of price discovery dominating bank stocks and compare its performance with portfolios of banks characterized by country and volatility. We show that buying a portfolio of price discovery dominant banks and selling most of the country-specific and volatility portfolios allow an investor to maximise profits or minimise loss. Our results are (a) robust to non-Islamic banks and to a larger sample of combined Islamic and non-Islamic banks, and (b) suggest that economic significance of price discovery is stronger for non-Islamic banks.
Department/s
- Department of Economics
Publishing year
2018
Language
English
Pages
107-122
Publication/Series
Pacific Basin Finance Journal
Volume
52
Document type
Journal article
Publisher
Elsevier
Topic
- Economics
Keywords
- Bank stocks
- Islamic countries
- Portfolio
- Price discovery
- Profits
Status
Published
ISBN/ISSN/Other
- ISSN: 0927-538X