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Price reaction of ethically screened stocks: a study of the Dow Jones Islamic Market World Index

Mazouz, Khelifa, Abdul, Mohamed and Saadouni, Brahim 2019. Price reaction of ethically screened stocks: a study of the Dow Jones Islamic Market World Index. Journal of Business Ethics 154 (3) , pp. 683-699. 10.1007/s10551-016-3389-y

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Abstract

This paper investigates the short-term effects on the price of the ethically screened stocks of the Dow Jones Islamic Market World Index (DJIMWI) quarterly revisions. Using a sample of 8,250 stocks from May 1999 through June 2012, we find a significant price reaction of the ethically screened stocks following additions and deletions. The results show that additions (deletions) from emerging stock markets tend to experience a greater and significantly positive (negative) price response than additions (deletions) from the developed markets. Further tests reveal that the price reactions following DJIMWI revisions are likely to be driven by shifts in investor sentiment rather than changes in firm fundamentals.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Publisher: Springer
ISSN: 0167-4544
Date of First Compliant Deposit: 12 July 2018
Date of Acceptance: 10 November 2016
Last Modified: 29 Jun 2019 16:23
URI: http://orca.cf.ac.uk/id/eprint/96344

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