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

Khelifa Mazouz; Abdulkadir Mohamed; Brahim Saadouni

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

Khelifa Mazouz, Abdulkadir Mohamed, Brahim Saadouni

A&F Accounting & Finance

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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.

Original language	English
Title of host publication	host publication
Publication status	Published - Mar 2015
Event	10th International Conference on Islamic Economics & Finance - Doha, Qatar Duration: 23 Mar 2015 → 25 Mar 2015

Conference

Conference	10th International Conference on Islamic Economics & Finance
City	Doha, Qatar
Period	23/03/15 → 25/03/15

Keywords

DJIMWI revisions; religion; comovement; Ramadan effect; behavioral finance; market efficiency.

Cite this

@inproceedings{58ca6f14c7f54b8f9db1243576d7c372,

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

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{\textquoteright}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{\textquoteright} emotional state even in the absence of fundamental news.",

keywords = "DJIMWI revisions; religion; comovement; Ramadan effect; behavioral finance; market efficiency.",

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

year = "2015",

month = mar,

language = "English",

booktitle = "host publication",

note = "10th International Conference on Islamic Economics & Finance ; Conference date: 23-03-2015 Through 25-03-2015",

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TY - GEN

T1 - Religion and stock return comovement: Evidence from the Dow Jones Islamic Market World Index revisions

AU - Mazouz, Khelifa

AU - Mohamed, Abdulkadir

AU - Saadouni, Brahim

PY - 2015/3

Y1 - 2015/3

N2 - 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.

AB - 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.

KW - DJIMWI revisions; religion; comovement; Ramadan effect; behavioral finance; market efficiency.

M3 - Conference contribution

BT - host publication

T2 - 10th International Conference on Islamic Economics & Finance

Y2 - 23 March 2015 through 25 March 2015

ER -

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

Abstract

Conference

Keywords

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