Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Islamic spot and index futures markets : Where is the price discovery?
Författare
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.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2018
Språk
Engelska
Sidor
123-133
Publikation/Tidskrift/Serie
Pacific Basin Finance Journal
Volym
52
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
Nyckelord
- Asset pricing
- Investors
- Islamic stocks
- Predictive regression
- Price discovery
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0927-538X