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Stock return comovement around the Dow Jones Islamic Market World Index revisions

Mazouz, Khelifa, Mohamed, Abdulkadir and Saadouni, Brahim 2016. Stock return comovement around the Dow Jones Islamic Market World Index revisions. Journal of Economic Behavior and Organization 132 (Supp.) , pp. 50-62. 10.1016/j.jebo.2016.05.011

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Abstract

We examine patterns of comovement in stock returns around the Dow Jones Islamic Market World Index (DJIMWI) quarterly revision events. Our analysis is based on a sample of 8,250 companies from eighteen countries during the period May 1999 to June 2012. We find that a stock’s comovement with the DJIMWI increases when it joins and decreases when it leaves the index. We also find that the comovement of newly added (deleted) stocks with the existing DJIMWI constituents increases (declines) during periods of high trading activity and during the month of Ramadan. Further tests reveal that changes in the fundamentals have no impact on the comovements of added and deleted stocks. Overall, our results indicate that stock returns respond to the emotional state of investors around information-free events.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HG Finance
Uncontrolled Keywords: DJIMWI revisions; Religion; Comovement; Ramadan effect; Behavioral finance; Market efficiency
Publisher: Elsevier
ISSN: 0167-2681
Date of First Compliant Deposit: 20 May 2016
Date of Acceptance: 12 May 2016
Last Modified: 24 May 2018 16:06
URI: http://orca.cf.ac.uk/id/eprint/90890

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