The Effect of Shari’ah Compliance Announcements on Stock Returns in Malaysia

There are increasing demands and interests in Shari’ah compliant stocks Malaysia. The identification of is known as screening, which announced to the public twice a year. Hence, objective this study investigate whether announcements provide valuable information impact such on stock returns. This applies market model estimate Alternative hypotheses that being tested inclusion (removal) (from) Compliant List give significant effect Cumulative Average Abnormal Return (CAAR). Employing event methodology years 2007 –2015, provides unambiguous evidence has increased price lead positive returns 1 day within announcement date. Meanwhile, removal from list results negative due declined price. As such, do carry informational value have Malaysian capital market. compliance especially Muslim investors assist them avoiding prohibited investment activities. present significantly contributed Efficient Market Hypothesis well practical implication for companies with haram