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

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dc.contributor.authorMazouz, Khelifa
dc.contributor.authorMohamed, Abdulkadir
dc.contributor.authorSaadouni, Brahim
dc.date.accessioned2016-07-04T10:22:13Z
dc.date.available2016-07-04T10:22:13Z
dc.date.issued2016-05-18
dc.description.abstractWe 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.en_UK
dc.identifier.citationKhelifa Mazouz, Abdulkadir Mohamed, Brahim Saadouni, Stock return comovement around the Dow Jones Islamic Market World Index revisions, Journal of Economic Behavior & Organization, Volume 132, Supplement, December 2016, pp. 50-62en_UK
dc.identifier.issn0167-2681
dc.identifier.urihttp://dx.doi.org/10.1016/j.jebo.2016.05.011.
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/10063
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internationalen_UK
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectDJIMWI revisionsen_UK
dc.subjectReligionen_UK
dc.subjectComovementen_UK
dc.subjectRamadan effecten_UK
dc.subjectBehavioral financeen_UK
dc.subjectMarket efficiencyen_UK
dc.titleStock return comovement around the Dow Jones Islamic Market World Index revisionsen_UK
dc.typeArticleen_UK

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