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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

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

Author

  • Hande Karabiyik
  • Paresh Kumar Narayan
  • Dinh Hoang Bach Phan
  • Joakim Westerlund

Summary, in English

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.

Department/s

  • Department of Economics

Publishing year

2018

Language

English

Pages

123-133

Publication/Series

Pacific Basin Finance Journal

Volume

52

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • Asset pricing
  • Investors
  • Islamic stocks
  • Predictive regression
  • Price discovery

Status

Published

ISBN/ISSN/Other

  • ISSN: 0927-538X