Halal Stock Designation and Impact on Price and Trading Volume

Obiyathulla Bacha and Mimi H. Abdullah

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the impact of the Malaysian Syariah Advisory Council’s (SAC) decision on stock eligibility. Specifically, we address four questions related to returns and trading volume of stocks in relation to the SAC’s decision to add or delete a stock to their list of halal stocks. Overall, our findings suggest that inclusions experience a positive impact while deletions negative. Our sample of 39 inclusions showed positive MCAR and increased trading volume. The price impact however was delayed with significant positive MCARs in the 30 and 60 day window periods following announcement. The impact on trading volume appears immediate but short lived. Our Sample of 21 stocks deleted from SAC list experienced negative MCAR and reduced trading volume. These were however statistically significant only in the 60 day window post announcement.

Keywords: Shariah compliance; Islamic stock designation; effect on returns and traded volume (search for similar items in EconPapers)
JEL-codes: D53 G14 G29 (search for similar items in EconPapers)
Date: 2001-06, Revised 2001-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published in The Journal of Accounting, Commerce & Finance – Islamic Perspective 1.5(2001): pp. 66-97

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