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 Kassim

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

Year 2017, Volume: 7 Issue: 2, 40 - 51, 01.06.2017

Nawal Seif Kassim Roslily Ramlee Salina Kassim

Abstract

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.

Keywords

Shariah screening methodology, Shariah compliant stocks, Shariah index, stock price, stock trading

Year 2017, Volume: 7 Issue: 2, 40 - 51, 01.06.2017

Nawal Seif Kassim Roslily Ramlee Salina Kassim

Abstract

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Details

Other ID	JA63ZM57EB
Journal Section	Research Article
Authors	Nawal Seif Kassim This is me Roslily Ramlee This is me Salina Kassim This is me
Publication Date	June 1, 2017
Published in Issue	Year 2017 Volume: 7 Issue: 2

Cite

APA	Kassim, N. S., Ramlee, R., & Kassim, S. (2017). Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach. International Journal of Economics and Financial Issues, 7(2), 40-51.
AMA	Kassim NS, Ramlee R, Kassim S. Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach. IJEFI. June 2017;7(2):40-51.
Chicago	Kassim, Nawal Seif, Roslily Ramlee, and Salina Kassim. “Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach”. International Journal of Economics and Financial Issues 7, no. 2 (June 2017): 40-51.
EndNote	Kassim NS, Ramlee R, Kassim S (June 1, 2017) Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach. International Journal of Economics and Financial Issues 7 2 40–51.
IEEE	N. S. Kassim, R. Ramlee, and S. Kassim, “Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach”, IJEFI, vol. 7, no. 2, pp. 40–51, 2017.
ISNAD	Kassim, Nawal Seif et al. “Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach”. International Journal of Economics and Financial Issues 7/2 (June 2017), 40-51.
JAMA	Kassim NS, Ramlee R, Kassim S. Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach. IJEFI. 2017;7:40–51.
MLA	Kassim, Nawal Seif et al. “Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach”. International Journal of Economics and Financial Issues, vol. 7, no. 2, 2017, pp. 40-51.
Vancouver	Kassim NS, Ramlee R, Kassim S. Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach. IJEFI. 2017;7(2):40-51.