Browsing by Author "Mazouz, Khelifa"
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Item Open Access Price reaction of ethically screened stocks: a study of the Dow Jones Islamic Market World Index(Springer, 2016-11-26) Mazouz, Khelifa; Mohamed, Abdulkadir; Saadouni, BrahimThis 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 8250 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 Open Access Stock return comovement around the Dow Jones Islamic Market World Index revisions(Elsevier, 2016-05-18) Mazouz, Khelifa; Mohamed, Abdulkadir; Saadouni, BrahimWe 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 8250 companies from eighteen countries during the period May 1999–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.