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Joakim Westerlund. Photo.

Joakim Westerlund

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

Joakim Westerlund. Photo.

Are Islamic Stock Returns Predictable? A Global Perspective

Author

  • Joakim Westerlund
  • Paresh Narayan
  • Susan Sharma
  • Dinh Phan

Summary, in English

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.

Department/s

  • Department of Economics

Publishing year

2016

Language

English

Pages

210-223

Publication/Series

Pacific Basin Finance Journal

Volume

40

Issue

A

Document type

Journal article

Publisher

Elsevier

Topic

  • Business Administration

Keywords

  • Islamic stocks
  • Predictability
  • Returns
  • Profits

Status

Published

ISBN/ISSN/Other

  • ISSN: 0927-538X