We examine the numerous patterns of comovement in stock returns and the Ramadan effect 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 from May 1999 to June 2012. We find that a stock’s comovement with the DJIMWI increases when it joins and declines 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. We interpret these findings as evidence that stock returns respond to investors’ emotional state even in the absence of fundamental news.