Islamic spot and index futures markets: where is the price discovery?

Hande Karabiyik, Paresh Kumar Narayan, Dinh Hoang Bach Phan, Joakim Westerlund

Research output: Contribution to journalArticleResearchpeer-review

16 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)123-133
Number of pages11
JournalPacific Basin Finance Journal
Publication statusPublished - Dec 2018
Externally publishedYes


  • Asset pricing
  • Investors
  • Islamic stocks
  • Predictive regression
  • Price discovery

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