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.

摘要

这项研究试图检验Google搜索量（GSV）的可预测性，并为七个美国（美国）伊斯兰股票指数构建适合伊斯兰股票市场的投资者信心指数。使用主成分分析，我们为伊斯兰股票市场构建了一个适当的投资者情绪指数，该指数描绘了更持久和更高的R这七个美国伊斯兰股票指数的均方值与Da，Engelberg和Gao（2015）的原始“搜索得出的金融和经济态度”（FEARS）情感指数相比。观察到的结果可以归因于我们投资者情绪指数的构建，因为我们加入了活跃在伊斯兰股票市场中的关键字。这项研究的结果为我们在伊斯兰股票市场的新情绪指数提供了强有力的可预测性证据。