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

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dc.contributor.authorMazouz, Khelifa
dc.contributor.authorMohamed, Abdulkadir
dc.contributor.authorSaadouni, Brahim
dc.date.accessioned2017-01-05T10:40:13Z
dc.date.available2017-01-05T10:40:13Z
dc.date.issued2016-11-26
dc.description.abstractThis 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.en_UK
dc.identifier.citationMazouz K, Mohamed A, Saadouni B. Price reaction of ethically screened stocks: a study of the Dow Jones Islamic Market World Index. Journal of Business Ethics, February 2019, Volume 154, Issue 3, 2016, pp. 683–699en_UK
dc.identifier.issn0167-4544
dc.identifier.urihttp://dx.doi.org/10.1007/s10551-016-3389-y
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/11215
dc.language.isoenen_UK
dc.publisherSpringeren_UK
dc.rightsAttribution-NonCommercial 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/
dc.subjectEthically screened stocksen_UK
dc.subjectAdditions and Deletionsen_UK
dc.subjectDow Jones Islamic Market World Indexen_UK
dc.subjectEmerging and developed marketsen_UK
dc.subjectInvestor sentimenten_UK
dc.titlePrice reaction of ethically screened stocks: a study of the Dow Jones Islamic Market World Indexen_UK
dc.typeArticleen_UK

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