Cross-sectional and time-series momentum returns: are Islamic stocks different?

Cheema, Muhammad A.; Nartea, Gilbert V.

doi:10.1080/00036846.2018.1488068

Cited by 5 publications

(3 citation statements)

References 35 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For example, Shah et al (2018) show through a study based on questionnaires that investors trading in the Pakistani stock market were significantly influenced by biases such as overconfidence, representativeness bias and anchoring bias. Further, Cheema and Nartea (2018) document that there is no significant difference in momentum returns between Islamic and non-Islamic stocks, which they ascribe to the existence of overconfident investors in those markets. More recently, Chaffai and Medhioub (2020) explored the prevalence of the anchoring bias of Muslim investors in the Islamic GCC stock markets.…”

Section: Literature Review 21 Behavioral Patterns Of Investors In Isl...mentioning

confidence: 98%

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Lobão

2023

JIABR

View full text Add to dashboard Cite

Purpose This paper aims to examine the extent of price clustering in a selection of Islamic stocks listed in Indonesia, Malaysia and Pakistan and also investigates the determinants of the phenomenon at the firm level. Design/methodology/approach The author test the uniformity of price distribution in the selected securities. Then, the determinants of price clustering were investigated through multivariate analysis based on a binary logistic regression model. Following the arguments of Narayan et al. (2011), who emphasize the importance of considering firm heterogeneity when studying the phenomenon, the author conducts the empirical study at the firm level. Findings The evidence indicates that Islamic stocks show a mild level of price clustering. Only half of the stocks under analysis rejected the uniformity test in the distribution of prices. In these cases, investors exhibited a preference for prices ending at zero and five. The evidence does not confirm the cultural clustering theories. Price clustering is found to be positively associated with price level and relative bid-ask spread. Overall, the negotiation hypothesis, which predicts that investors prefer round prices to minimize the costs associated with negotiations, best explains most of our results. Research limitations/implications The existence of price clustering is difficult to reconcile with the prediction of the efficient market hypothesis that prices should follow a random walk. Moreover, the evidence indicates that Muslim investors share a preference for round prices in some settings, under the assumption that Islamic stocks are mostly traded by Muslim investors. Originality/value To the author’s best knowledge, this is the first study to address the subject of price clustering in Islamic stocks.

show abstract

Section: Literature Review 21 Behavioral Patterns Of Investors In Isl...mentioning

confidence: 98%

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Lobão

2023

JIABR

View full text Add to dashboard Cite

show abstract

“…Furthermore, Tee et al (2019) and Cheema and Nartea (2018) suggest that these funds might benefit from momentum returns. There are many papers focused on conventional funds; for example, Cao et al ( 2017 ) and Sha (2020) indicate style drifts in response to market conditions, while Rizvi et al ( 2020 ) report the existence of these drifts in the context of the COVID-19 outbreak.…”

Section: Introductionmentioning

confidence: 99%

The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing

Mirza

Rizvi

Saba

et al. 2022

International Review of Economics & Finance

View full text Add to dashboard Cite

This paper analyses the risk-adjusted performance of Islamic and conventional equity funds during the COVID-19 pandemic. We show that Islamic equity funds demonstrated differentials in risk-adjusted performance, investment styles, and volatility timing compared to their conventional counterparts. Specifically, the results revealed that Islamic equity funds are more resilient to COVID-19 shock since they outperformed non-Islamic peers during the peak months of the pandemic. The trend continues even when the spread smoothens. These findings confirm the safe-haven properties of Islamic equity funds, which is helpful for investors aiming to hedge pandemic risks. The style analysis reveals investment drift from riskier styles to more prudent options in response to each stage's uncertainties. The results suggest policymakers should further investigate Islamic financial assets and their underlying principles to improve the resilience of economic systems in any future black swan events.

show abstract

“…Furthermore, Tee et al (2019) and Cheema and Nartea (2018) suggest that these funds might benefit from momentum returns. There are many papers focused on conventional funds; for example, Cao et al (2017) and Sha (2020) indicate style drifts in response to market conditions, while Rizvi et al (2020) report the existence of these drifts in the context of the COVID-19 outbreak.…”

Section: Introductionmentioning

confidence: 99%

The Resilience of Islamic Equity Funds during COVID-19: Evidence from Risk Adjusted Performance, Investment Styles and Volatility Timing

et al. 2020

View full text Add to dashboard Cite

Cross-sectional and time-series momentum returns: are Islamic stocks different?

Cited by 5 publications

References 35 publications

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

Efficiency and price clustering in Islamic stocks: evidence from three Asian countries

The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing

The Resilience of Islamic Equity Funds during COVID-19: Evidence from Risk Adjusted Performance, Investment Styles and Volatility Timing

Contact Info

Product

Resources

About