Does the Sharia-compliant Status Removal Announcement Matter? Liquidity, Trading Activities and Institutional Investors
Rozaimah Zainudin,
Karren Lee-Hwei Khaw
Abstract:On 29th November 2013, the Security Commission Malaysia revised the Sharia-compliant screening policy and about 20% of the Sharia firms lost their certification for not meeting the additional criteria. Using 107 affected firms, we examine the removal announcement effect on the stocks’ liquidity and trading activities. Our analysis focuses only on the removal announcement due to the screening policy changes. We use 181 days event window for the short-term effect and multivariate panel estimation models for the … Show more
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