| Summary: | The purpose of this chapter is to determine the effect of addition and deletion of shari'ah-compliant securities in Bursa Malaysia. Data on Mean Cumulative Abnormal Returns (MCARs) for each addition/deletion announcements and volatility by subsamples partitioning is used. Then, the Event Study methodology was applied for each subsample. It was found that there were no significant abnormal returns on the securities prices before and after the announcements. As for the volatility, the addition of securities partitioned by market directions shows that MCARs are positive while deletion is negative when the market is up. For the volatility market subsamples, it was found that investors under-react to good news during low volatility market and over-react to bad news during low volatility market. It can be said that market efficiency is anomalous. This study is perhaps the first that concentrates on the effect of addition and deletion of shari'ah compliant securities. © 2011 Nova Science Publishers, Inc. All rights reserved.
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