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; Out-of-sample forecasting; Quantile regression.
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