The Effect Of Reconstitution Of Shariah Compliant Index Announcement On Stock Turnover And Returns
Abstract/Description
Purpose: The purpose of this study is to determine the effect of announcements of re-composition of All Shares Islamic Index of Pakistan commonly known as PSX-KMI All Share Islamic Index of Pakistan on the Turnover and Returns of included and excluded companies; because of growing interest of individual and institutional investors in Shariah compliant stocks.
Research Approach: The quantitative approach has been applied in this research, using secondary data of companies included and excluded, due to re-composition of PSX-KMI All Share Islamic Index, surrounding around four (04) announcements with three months’ pre-notice period and one-month post-notice period. This secondary data was retrieved using Eikon Refinitiv DataStream. The Event Study approach was used to examine the effect of re-composition announcement on Abnormal Turnover and Abnormal returns, surrounding the announcement period.
Findings: The study found that there is insignificant impact on Abnormal Turnover and Abnormal Returns of included and excluded companies, due to the announcement of re-composition of PSX-KMI All Share Islamic index of Pakistan
Practical implications: This study may contribute to the knowledge base of regulatory intervention (announcement reaction) and its impact on the performance of listed stocks.
Originality/Value: As per the researcher’s best knowledge, it is the first empirical study on the effect of announcements of re-composition of PSX-KMI All Share Islamic Index of Pakistan on the Turnover and Returns of included and excluded companies.
Keywords
PSX-KMI All Share Islamic Index, Index recomposition, Abnormal turnover, Abnormal returns, Event study
Track
Finance
Session Number/Theme
3A: Finance
Session Chair
Dr. Mohsin Zahid Khawaja ; Dr. Falik Shear
Start Date/Time
30-5-2024 5:00 PM
End Date/Time
30-5-2024 6:00 PM
Location
MCS – 3 AMAN CED Building
Recommended Citation
Sharif, S., & Bank Alfalah. (2024). The Effect Of Reconstitution Of Shariah Compliant Index Announcement On Stock Turnover And Returns. 3rd IBA SBS International Conference 2024. Retrieved from https://ir.iba.edu.pk/sbsic/2024/program/30
COinS
The Effect Of Reconstitution Of Shariah Compliant Index Announcement On Stock Turnover And Returns
MCS – 3 AMAN CED Building
Purpose: The purpose of this study is to determine the effect of announcements of re-composition of All Shares Islamic Index of Pakistan commonly known as PSX-KMI All Share Islamic Index of Pakistan on the Turnover and Returns of included and excluded companies; because of growing interest of individual and institutional investors in Shariah compliant stocks.
Research Approach: The quantitative approach has been applied in this research, using secondary data of companies included and excluded, due to re-composition of PSX-KMI All Share Islamic Index, surrounding around four (04) announcements with three months’ pre-notice period and one-month post-notice period. This secondary data was retrieved using Eikon Refinitiv DataStream. The Event Study approach was used to examine the effect of re-composition announcement on Abnormal Turnover and Abnormal returns, surrounding the announcement period.
Findings: The study found that there is insignificant impact on Abnormal Turnover and Abnormal Returns of included and excluded companies, due to the announcement of re-composition of PSX-KMI All Share Islamic index of Pakistan
Practical implications: This study may contribute to the knowledge base of regulatory intervention (announcement reaction) and its impact on the performance of listed stocks.
Originality/Value: As per the researcher’s best knowledge, it is the first empirical study on the effect of announcements of re-composition of PSX-KMI All Share Islamic Index of Pakistan on the Turnover and Returns of included and excluded companies.
