Does Islamic stock sensitivity to oil prices have economic significance?

Paresh Kumar Narayan, Dinh Phan () and Susan Sharma

Pacific-Basin Finance Journal, 2019, vol. 53, issue C, 497-512

Abstract: This paper uses an extensive new dataset of 2178 Islamic stocks with historical monthly data (1986–2014) and examines their sensitivity to oil price changes. We find that only around 32% of these stocks react statistically significantly to oil prices, dispelling the common notion that oil prices affect the stock market homogeneously. We show that trading on oil price sensitivity offers investors annualized profits in the range of 5.8–13.6%. These results pass multiple robustness tests.

Keywords: Islamic stocks; Oil prices; Trading; Profits (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (30)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X18302117
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:53:y:2019:i:c:p:497-512

DOI: 10.1016/j.pacfin.2018.04.003

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().