Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Are Islamic Stock Returns Predictable? A Global Perspective
Author
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