Price and volume effects of the Dow Jones Islamic Market World Index revisions

We examine the short-term effects on the price and liquidity of the Down Jones Islamic Market World Index (DJIMWI) quarterly revisions (additions and deletions) for a very large sample (8,250) of companies from eighteen countries during the period from May 1999 to June 2012. The results show that the price effect depends on whether the additions (deletions) come from developed or emerging stock markets. Additions (deletions) from emerging stock markets tend to experience greater and significant positive (negative) price response than those from developed markets. The findings also reveal that the announcements of additions (deletions) have a greater impact on the volume and the bid-ask spread of the companies from emerging markets. Overall, the results can be viewed as supportive of investor recognition or ‘shadow cost’ hypothesis (Miller, 1987).