Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach

Nawal Seif Kassim; Roslily RAMLEE; Salina KASSİM

Makale detayları

Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach

Yazarlar:

Nawal Seif Kassim | Roslily RAMLEE | Salina KASSİM

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 2, pp.40-51

Belge Tipi:

Makale

Yayın Tarihi:

5/2017

Belge Dili:

Türkçe

Document ID (Org No.):

2000811771

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

Does the inclusion or exclusion from the Shariah index have any effect on the performance of a stock? This study aims to examine the impact of stock inclusion (or exclusion) on the stock prices and trading volume of the firms. Based on the case of selected stocks in Bursa Malaysia, our sample consists of 107 additions and 95 deletions from the FTSE Bursa Malaysia Emas Shariah Index (FBMESI) in the period of June 2007-June 2014. Event study methodology is used to estimate the abnormal returns and abnormal volumes in the days surrounding the announcement and change dates. The study finds the included stock shows significant and permanent excess returns and abnormal volumes. On the other hand, deleted stocks earn temporary significant negative returns and below normal volumes after the announcement and change dates.

Makale detayları

Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach

Yazarlar: Nawal Seif Kassim | Roslily RAMLEE | Salina KASSİM

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2017 Vol.7 Issue 2, pp.40-51

Belge Tipi: Makale

Yayın Tarihi: 5/2017

Belge Dili: Türkçe

Document ID (Org No.): 2000811771

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Nawal Seif Kassim | Roslily RAMLEE | Salina KASSİM

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2017 Vol.7 Issue 2, pp.40-51

Belge Tipi:

Makale

Yayın Tarihi:

5/2017

Belge Dili:

Türkçe

Document ID (Org No.):

2000811771

Sıklık:

İki Aylık

eISSN:

2146-4138