Islamic occasions and investor sentiment

Jaziri, Marwa; Abdelhédi, Mouna

doi:10.1108/imefm-08-2017-0225

Cited by 18 publications

(18 citation statements)

References 34 publications

(35 reference statements)

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“…Several attempts have been made to investigate the DoW effect on stock markets in different regions of the world. For instance, Jaffe and Westerfield (1985) analyzed a weekend effect in Australia, Japan, the UK and Canada stock markets. Wong et al (1992) examined the stock markets of Singapore, Malaysia, Hong Kong, Thailand and Taiwan.…”

Section: Literature Reviewmentioning

confidence: 99%

The day of the week effects in stock markets of countries with predominantly Muslim populations

Yardımcı

Erdem

2020

IMEFM

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Purpose The purpose of this paper is to investigate the day of the week (DoW) effect in stock markets of 19 countries with a predominantly Muslim population over the world. Design/methodology/approach The empirical research was conducted by using the descriptive statistical analysis and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) method in 19 stock markets for the past decade. Findings The findings in this paper present the evidence of the DoW effect in the majority of the stock markets analyzed. The findings were also consistent with the results of some previous studies regarding the DoW effect in various countries but some were found to be surprisingly different. Research limitations/implications This study puts forward the view that investors may consider DoW diversities for their investment decisions regarding the countries with predominantly Muslim population. The authors conclude that additional factors affecting Islamic countries’ stock markets such as geographic proximity, trading days, market capitalization and ethnicity should be considered as well. Originality/value Researchers have shown an increased interest in calendar anomalies in stock exchanges of some individual Arab countries. This study contributes to the literature by examining Muslim country stock markets collectively.

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Section: Literature Reviewmentioning

confidence: 99%

The day of the week effects in stock markets of countries with predominantly Muslim populations

Yardımcı

Erdem

2020

IMEFM

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“…To the best of our literature documentation (Aloui et al, 2016;Dash & Maitra, 2018;Jaziri & Abdelhedi, 2018), there is still academic debate over whether Islamic values moderate the sentiment-returns relationship, especially in an emerging market. Therefore, we contribute to the related literature gap.…”

Section: Model Developmentmentioning

confidence: 99%

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

Hashfi

Naufa

Munawaroh

2021

JIMF

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The aim of this research is to verify the role of Islamic value in stock mispricing in the Indonesian capital market. Empirically, high investor sentiment can lead to mispricing on equity appraisal. When investors feel excessively optimistic about their valuation, equity will be overpriced, or vice versa. The presence of Islamic values, such as the prohibition of interest, speculative and uncertain transactions, and excessive leverage, arguably reduce sentiment-based mispricing. Daily and cross-sectional market data were employed. In addition, principal component analysis was conducted to construct a firm-specific investor sentiment variable. With regard to the method, the Hausman-Taylor (H-T) approach was used to deal with heterogeneity, endogeneity, and the time-invariant variable in Fama-MacBeth regression. The results show that our baseline analysis confirms the mispricing of overall stocks. However, Islamic stocks are less exposed to sentiment-based mispricing than their non-Islamic counterparts. The results are consistent with our robustness test, in which we estimate the equation model across industry and portfolio. Finally, our findings imply various insights for both investors and policymakers.

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“…Secondly, they showed that there is a significant positive change in the Islamic investor's emotion after "elhajj" pilgrimage and "Eid al el idha" holiday. For their part, Jaziri and Abdelhedi (2018) tested the impact of Islamic religious occasions on the investor's sentiment. The obtained results indicated a significant impact of the investor's sentiment on all the Arab financial markets in the first and second 10 days of Ramadan .…”

Section: Imefm 132mentioning

confidence: 99%

Predicting the effect of Googling investor sentiment on Islamic stock market returns

Trichilli¹,

Abbes²,

Masmoudi³

2020

IMEFM

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Purpose The purpose of this paper is to evaluate the capability of the hidden Markov model using Googling investors’ sentiments to predict the dynamics of Islamic indexes’ returns in the Middle East and North Africa (MENA) financial markets from 2004 to 2018. Design/methodology/approach The authors propose a hidden Markov model based on the transition matrix to apprehend the relationship between investor’s sentiment and Islamic index returns. The proposed model facilitates capturing the uncertainties in Islamic market indexes and the possible effects of the dynamics of Islamic market on the persistence of these regimes or States. Findings The bearish state is the most persistent sentiment with the longest duration for all the MENA Islamic markets except for Jordan, Morocco and Qatar. In addition, the obtained results indicate that the effect of sentiment on predicting the future Islamic index returns is conditional on the MENA States. Besides, the estimated mean returns for each state indicates that the bullish and calm states are ideal for investing in Islamic indexes of Bahrain, Oman, Morocco, Kuwait, Saudi Arabia and United Arab Emirates. However, only the bullish state is ideal for investing Islamic indexes of Jordan, Egypt and Qatar. Research limitations/implications This paper has used data at a monthly frequency that can explain only short-term dynamics between Googling investor’s sentiment and the MENA Islamic stock market returns. Moreover, this work can be done on the stock markets while taking into account the specificity of each activity sector. Practical implications In fact, the findings of this paper are helpful for academics, analysts and practitioners, and more specifically for the Islamic MENA financial investors. Moreover, this study provides useful insights not only into the duration of the relationship between the indexes’ returns and the investors’ sentiments in the five states but also into the transition probabilities which have implications for how investors could be guided in their choice of future investment in a portfolio with Islamic indexes. Findings of this paper are important and valuable for policy-makers and investors. Thus, predicting the effect of Googling investors’ sentiment on the MENA Islamic stock market dynamics is important for portfolio diversification by domestic and international investors. Moreover, the results of this paper gave new insights into financial analysts about the dynamic relationship between Googling investors’ sentiment and Islamic stock market returns across market regimes. Therefore, the findings of this study might be useful for investors as they help them capture the unobservable dynamics of the changes in the investors’ sentiment regimes in the MENA financial markets to make successful investment decisions. Originality/value To the best of the authors’ knowledge, this paper is the first to use the hidden Markov model to examine changes in the Islamic index return dynamics across five market sentiment states, namely the depressed sentiment (S1), the bullish sentiment (S2), the bearish sentiment (S3), the calm sentiment (S4) and the bubble sentiment (S5).

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Islamic occasions and investor sentiment

Cited by 18 publications

References 34 publications

The day of the week effects in stock markets of countries with predominantly Muslim populations

The day of the week effects in stock markets of countries with predominantly Muslim populations

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

Predicting the effect of Googling investor sentiment on Islamic stock market returns

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