Mispricing on Islamic Stock Markets in ASEAN Countries

The purpose of this study is to detect any mispricing on Islamic stock in four countries which are the founding fathers of ASEAN (Indonesia, Malaysia, Singapore, and Thailand). Three-factor Asset Pricing Model [1] is employed in this study with daily individual stock price from June 2005 until December 2017, and later categorized into 25 portfolios based on their size and book-to-market equity. This study found no evidence of mispricing in Indonesia and Malaysia so that these Islamic stock markets are efficient. Different evidence was found in Singapore and Thailand as in those Islamic stock markets significant mispricing can be found in Thailand Islamic Stock Market and marginally significant mispricing in Singapore Islamic Stock Market, which indicates those markets are not efficient. Moreover, this study also found that Financial Crisis 2008 only has a significant effect in Indonesia and Thailand Islamic Stock Market. This paper gives new insight of Islamic Stock Market Efficiencies by focusing on Islamic stock in ASEAN which is a region dominated by emerging markets and this study also used the daily stock price of an individual stock and not index level data.