Computing the Time-Varying Effects of Investor Attention in Islamic Stock Returns

Nabila Jawadi (), Fredj Jawadi and Abdoulkarim Idi Cheffou
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Nabila Jawadi: IPAG Business School
Abdoulkarim Idi Cheffou: ISG Paris Business School

Computational Economics, 2020, vol. 56, issue 1, No 8, 143 pages

Abstract: Abstract This paper investigates the relationship between investor attention and the Islamic stock market. In particular, we investigate whether investor attention—measured by Google searches—could help to improve the forecasting of Islamic stock returns. To this end, we used quantile regressions to examine the relationship over the period 2004–2016 in order to capture its evolution during calm and turbulent times. We thus investigated the effect of investor attention not only on the mean, but also for the different quantiles. Our findings highlight two important points. First, the relationship between investor attention and Islamic stock returns exhibits time-variation and nonlinearity as investor attention significantly impacts the dynamics of Islamic returns, but its sign and effect vary per quantile. Second, the usefulness of information provided by investor attention improves the forecasting of future Islamic stock returns.

Keywords: Investor attention; Islamic stock market; Quantile regression; Out-of-sample forecasting (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10614-020-09988-y

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