Does Islamic stock sensitivity to oil prices have economic significance?

被引：56

作者：

Narayan, Paresh Kumar ^{[1
]}

Dinh Hoang Bach Phan ^{[2
,3
]}

Sharma, Susan Sunila ^{[1
,4
]}

机构：

[1] Deakin Univ, Deakin Business Sch, Ctr Financial Econometr, Melbourne, Vic, Australia

[2] Taylors Univ, Taylors Business Sch, Fac Business & Law, Kuala Lumpur, Malaysia

[3] Monash Univ, Sch Business, Dept Accounting & Finance, Kuala Lumpur, Malaysia

[4] Deakin Univ, Deakin Business Sch, Dept Finance, Melbourne, Vic, Australia

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2019年 / 53卷

关键词：

Islamic stocks; Oil prices; Trading; Profits; RETURNS; MARKET; VOLATILITY; SHOCKS; IMPACT;

D O I：

10.1016/j.pacfin.2018.04.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：497 / 512

页数：16

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