A New Sentiment Index for the Islamic Stock Market

Khan, Muhammad Asif and Ahmad, Rubi and Azmi, Anna and Akbar, Muhammad (2019) A New Sentiment Index for the Islamic Stock Market. Investment Analysts Journal, 48 (2). pp. 146-172. ISSN 1029-3523

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Abstract

This study attempts to examine the predictability of Google search volume (GSV) and to construct an appropriate investor sentiment index for Islamic stock markets for seven United States (US) Islamic stock indices. Using principal component analysis, we construct an appropriate investor sentiment index for Islamic stock markets that depicts more persistent and higher R-squared values for all these seven US Islamic stocks indices compared to the original Financial and Economic Attitudes Revealed by Search (FEARS) sentiment index of Da, Engelberg, and Gao (2015). The observed results can be attributed to the construction of our investor sentiment index as we have included keywords active in the Islamic stock markets. The findings of this study provide strong predictability evidence for our new sentiment index in the Islamic stock markets.

Item Type: Article
Identification Number: https://doi.org/10.1080/10293523.2019.1643968
Dates:
DateEvent
10 July 2019Accepted
1 August 2019Published Online
Uncontrolled Keywords: Google search volume, Islamic stock market return volatility, FEARS keywords, new sentiment index
Subjects: N300 Finance
Divisions: Faculty of Business, Law and Social Sciences > Birmingham City Business School > Department of Accounting, Finance and Economics
Faculty of Business, Law and Social Sciences > Birmingham City Business School > Centre for Applied Finance and Economics
Depositing User: Muhammad Akbar
Date Deposited: 16 Apr 2021 09:43
Last Modified: 16 Apr 2021 09:43
URI: http://www.open-access.bcu.ac.uk/id/eprint/8735

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