Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks

Narayan, Paresh Kumar; Bannigidadmath, Deepa

doi:10.1016/j.pacfin.2015.12.009

Cited by 94 publications

(48 citation statements)

References 39 publications

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“…3 In addition, the presence of a Shariah board as a monitoring body acts as an additional layer of governance besides the presence of board of directors (Mollah et al, 2017) which is not present in case of conventional banks. This due diligence has also positive repercussions on the relative performance of Islamic stocks (Narayan and Bannigidadmath, 2017).…”

Section: Background and Rationalementioning

confidence: 99%

Small business lending and credit risk: Granger causality evidence

Aysan

Disli

2019

Economic Modelling

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Because of their opaque nature, SMEs are overly reliant on bank lending. Therefore, we examine whether banks' credit supply to SMEs are affected by their financial conditions. To this end, we employ a Granger causality analysis to examine whether there is an indication of a significant direction of determination between SME lending and non-performing SME loans. The results reveal no bidirectional relationship between SME lending and NPL for the entire banking sector. For Islamic banks, however, we find two-way linkages between these two parameters: a negative causation is running both from SME lending to NPL growth and from NPL to SME lending. Given Islamic banks' deposit-oriented funding practices and their adherence to profit-and-loss sharing principles, this finding suggests the presence of heightened market discipline within the Islamic banking system.

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Section: Background and Rationalementioning

confidence: 99%

Small business lending and credit risk: Granger causality evidence

Aysan

Disli

2019

Economic Modelling

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“…Research by Fama and French found that lagged profitability, asset growth, and accruals are related to average returns [5]. Narayan and Bannigidadmath study concludes [6]: First, both positive and negative news can predict the majority of Islamic and conventional stock returns, where positive news has a greater impact on both types of stock returns. Second, shocking financial news only reverses return for some stocks.…”

Section: Introductionmentioning

confidence: 88%

Unusual Phenomena of the Profit-Return Relationship in Indonesia Sharia Stocks Market

Anhar¹,

Faruqi²

2020

Proceedings of the 6th Annual International Conference on Management Research (AICMaR 2019)

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This study aims to prove the existence of an unusual phenomenon in the short-term investment market of Sharia stocks in Indonesia in 2018. The usual phenomenon that is in accordance with the fundamental analysis of stock investment is "High profit-high return, low profit-low return". Does this phenomenon exist? An understanding on the rank of the emiten's profitability and stock investment returns will be useful in the stocks analysis, especially in the analysis phase when potential investors will determine the stocks that will be the object of investment. Data of emiten's profitability and investment returns of Sharia stocks are taken and processed from the IDX data. Descriptive analysis is carried out to explain the ranking of profitability and investment return. Inferential analysis (Test of Rank Difference) is carried out to test hypotheses about the difference between profitability and return ranking. Research shows the results that profitability rank and return rank are differing. This shows that the phenomenon of "High profit-high return, low profit-low return" does not exist in the short-term investment market of sharia stocks in Indonesia in 2018, or that the unusual phenomenon occurs.

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“…(), Cahan et al . (), Narayan and Bannigidadmath (), Seng and Yang (), and Wu and Lin (). Logistic regression is used when the response variable is categorical, and the objective is to model the posterior probabilities of each class as linear functions of the inputs.…”

Section: Econometric Techniquesmentioning

confidence: 99%

“…Importantly, Tetlock () demonstrated that even simplistic and imprecise quantifications of news content, such as the frequency of negatively associated words, may contain insightful and even predictive information about market behaviour. Tetlock's () general result has since been repeated and extended with longer sample periods (Garcia, ), stricter constraints on market exogeneity (Dougal et al ., ), and across different markets (Narayan and Bannigidadmath, ). This subset of literature examines the relationship between relatively uninformative, market‐wide news content and market behaviour.…”

Section: Empirical Findingsmentioning

confidence: 99%

News media analytics in finance: a survey

Marty

Vanstone

Hahn³

2019

Accounting & Finance

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We survey the works applying text analytics to the study of news media in financial markets beyond intraday horizons, and expand into the fundamental economic theory and concepts relevant to the field. We compare and contrast the news sources, textual analysis methods and empirical modelling approaches adopted within the literature. We distil and categorise the key empirical insights, and summarise the bibliographic history of the literature so far. While this rapidly growing field has yielded many exciting discoveries, there are a number of promising avenues for future research which will only benefit from continued advances in computational technology.

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Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks

Cited by 94 publications

References 39 publications

Small business lending and credit risk: Granger causality evidence

Small business lending and credit risk: Granger causality evidence

Unusual Phenomena of the Profit-Return Relationship in Indonesia Sharia Stocks Market

News media analytics in finance: a survey

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