Religion and stock return comovement: Evidence from the Dow Jones Islamic Market World Index revisions

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

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.

Bibliographical metadata

Original languageEnglish
Title of host publicationhost publication
Publication statusPublished - Mar 2015
Event10th International Conference on Islamic Economics & Finance - Doha, Qatar
Event duration: 23 Mar 201525 Mar 2015

Conference

Conference10th International Conference on Islamic Economics & Finance
CityDoha, Qatar
Period23/03/1525/03/15