Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Islamic spot and index futures markets : Where is the price discovery?
Author
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