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

Research output: Contribution to journalArticle

Abstract

We 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.

Bibliographical metadata

Original languageEnglish
Pages (from-to)50-62
Number of pages13
JournalJournal of Economic Behavior and Organization
Volume132
Early online date16 May 2016
DOIs
Publication statusPublished - 2016

Related information

Researchers

View all