Mazouz, K, Mohamed, A and Saadouni, B (2019) Price Reaction of Ethically Screened Stocks: A Study of the Dow Jones Islamic Market World Index. Journal of Business Ethics, 154 (3). pp. 683-699. ISSN 0167-4544
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.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © Springer Science+Business Media Dordrecht 2016. This is an author produced version of a paper published in Journal of Business Ethics. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Ethically screened stocks; Additions and Deletions; Dow Jones Islamic Market World Index; Emerging and developed markets; Investor sentiment |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 20 Jun 2019 15:31 |
Last Modified: | 03 Jul 2019 01:11 |
Status: | Published |
Publisher: | Springer |
Identification Number: | 10.1007/s10551-016-3389-y |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:147572 |