Jurnal
SINTA 1
Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence from the Indonesian Stock Exchange
Journal of Islamic Monetary Economics and Finance
ISSN 2460-6618, 2460-6146
Terbit 2021-02-28
Penerbit Bank Indonesia
Bahasa eng
Abstrak
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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Sumber metadata: OAI-PMH (metadata jurnal) http://www.jimf-bi.org/index.php/JIMF/oai, pertama di-harvest 9 Nov 2026, terakhir terlihat 9 Nov 2026.
Metadata asli (oai_dc)
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<dc:title xml:lang="en">Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence from the Indonesian Stock Exchange</dc:title>
<dc:creator xml:lang="en">Al Hashfi, Rizqi Umar</dc:creator>
<dc:creator xml:lang="en">Naufa, Ahmad Maulin</dc:creator>
<dc:creator xml:lang="en">Munawaroh, U’um</dc:creator>
<dc:subject xml:lang="en">Mispricing</dc:subject>
<dc:subject xml:lang="en">Sentiment</dc:subject>
<dc:subject xml:lang="en">Return</dc:subject>
<dc:subject xml:lang="en">Islamic values</dc:subject>
<dc:description xml:lang="en">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.</dc:description>
<dc:publisher xml:lang="en">Bank Indonesia</dc:publisher>
<dc:date>2021-02-28</dc:date>
<dc:type>info:eu-repo/semantics/article</dc:type>
<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
<dc:format>application/pdf</dc:format>
<dc:identifier>https://jimf-bi.org/JIMF/article/view/1319</dc:identifier>
<dc:identifier>10.21098/jimf.v7i1.1319</dc:identifier>
<dc:source xml:lang="en">Journal of Islamic Monetary Economics and Finance; Vol. 7 No. 1 (2021); 1 - 26</dc:source>
<dc:source>2460-6618</dc:source>
<dc:source>2460-6146</dc:source>
<dc:source>10.21098/jimf.v7i1</dc:source>
<dc:language>eng</dc:language>
<dc:relation>https://jimf-bi.org/JIMF/article/view/1319/835</dc:relation>
</oai_dc:dc>
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APA 7
Al Hashfi, R. U., Naufa, A. M., & Munawaroh, U. (2021). Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence from the Indonesian Stock Exchange. Journal of Islamic Monetary Economics and Finance, 7(1), 1–26. https://doi.org/10.21098/jimf.v7i1.1319
Salin
IEEE
R. U. Al Hashfi, A. M. Naufa, and U. Munawaroh, “Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence from the Indonesian Stock Exchange,” Journal of Islamic Monetary Economics and Finance, vol. 7, no. 1, pp. 1–26, 2021, doi: 10.21098/jimf.v7i1.1319.
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