Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index

Khelifa Mazouz; Abdulkadir Mohamed; Brahim Saadouni

doi:10.1007/s10551-016-3389-y

Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index

Khelifa Mazouz, Abdulkadir Mohamed, Brahim Saadouni^*

^*Corresponding author for this work

A&F Accounting & Finance

Research output: Contribution to journal › Article › peer-review

Abstract

This 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.

Original language	English
Pages (from-to)	683-699
Number of pages	17
Journal	Journal of Business Ethics
Volume	154
Issue number	3
Early online date	26 Nov 2016
DOIs	https://doi.org/10.1007/s10551-016-3389-y
Publication status	Published - 2019

Keywords

Additions and Deletions
Dow Jones Islamic Market World Index
Emerging and developed markets
Ethically screened stocks
Investor sentiment

Access to Document

10.1007/s10551-016-3389-y

Cite this

@article{7e38a370ef7a4662bdff7a927863311d,

title = "Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index",

abstract = "This 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.",

keywords = "Additions and Deletions, Dow Jones Islamic Market World Index, Emerging and developed markets, Ethically screened stocks, Investor sentiment",

author = "Khelifa Mazouz and Abdulkadir Mohamed and Brahim Saadouni",

year = "2019",

doi = "10.1007/s10551-016-3389-y",

language = "English",

volume = "154",

pages = "683--699",

journal = "Journal of Business Ethics",

issn = "0167-4544",

publisher = "Springer Nature",

number = "3",

}

TY - JOUR

T1 - Price Reaction of Ethically Screened Stocks

T2 - A Study of the Dow Jones Islamic Market World Index

AU - Mazouz, Khelifa

AU - Mohamed, Abdulkadir

AU - Saadouni, Brahim

PY - 2019

Y1 - 2019

N2 - This 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.

AB - This 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.

KW - Additions and Deletions

KW - Dow Jones Islamic Market World Index

KW - Emerging and developed markets

KW - Ethically screened stocks

KW - Investor sentiment

UR - http://www.scopus.com/inward/record.url?scp=84997112161&partnerID=8YFLogxK

U2 - 10.1007/s10551-016-3389-y

DO - 10.1007/s10551-016-3389-y

M3 - Article

AN - SCOPUS:84997112161

SN - 0167-4544

VL - 154

SP - 683

EP - 699

JO - Journal of Business Ethics

JF - Journal of Business Ethics

IS - 3

ER -

Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this