Momentum strategies for Islamic stocks

Paresh Kumar Narayan, Dinh Hoang Bach Phan

Research output: Contribution to journalArticleResearchpeer-review

35 Citations (Scopus)

Abstract

We estimate momentum profits for a large portfolio of Islamic stocks, control for stock characteristics and the state-of-the-market, explore seasonal patterns, and examine the determinants of profits. We discover ample evidence that momentum strategies work for Islamic stocks, but are stock characteristic-dependent, that up and down phases of the market offer different profits, and that there is a January effect on profits. We also find that the market risk factors – namely, excess market returns, value, size, and betting-against-beta factors – and macroeconomic risk factors do explain profits. We conclude that the profitability of Islamic stocks is merely compensation for risks and is not due to mispricing.

Original languageEnglish
Pages (from-to)96-112
Number of pages17
JournalPacific Basin Finance Journal
Volume42
DOIs
Publication statusPublished - Apr 2017
Externally publishedYes

Keywords

  • Abnormal Returns
  • Islamic Stocks
  • Mispricing
  • Portfolio
  • Profitability
  • Risk Factors

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