The subprime crisis and Islamic stock markets integration
Purpose – The purpose of this paper is to examine the effects of the current global crisis on the integration and co-movements of selected Islamic stock markets. Design/methodology/approach – Time series techniques of cointegration were used over the period spanning from February 15, 2006 to Dece...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Group Publishing Limited
2010
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/17937/13/Thesubprimecrisis.pdf http://ir.unimas.my/id/eprint/17937/ http://www.emeraldinsight.com/1753-8394.htm |
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| Summary: | Purpose – The purpose of this paper is to examine the effects of the current global crisis on the
integration and co-movements of selected Islamic stock markets.
Design/methodology/approach – Time series techniques of cointegration were used over the
period spanning from February 15, 2006 to December 31, 2008. In order to explore changes in the stock
market integration and co-movement, following Majid and Kassim, we divide the period of analysis into
two periods, namely the pre-crisis period (February 15, 2006-July 25, 2007) and during crisis period
( July 26, 2007-December 31, 2008).
Findings – No evidence was found of cointegration among the Islamic stock markets in both periods.
Accordingly, the 2007 subprime crisis does not seem to affect the long-run co-movements among the
Islamic stock markets.
Practical implications – The Islamic stock markets provide opportunity for the potential benefits
from international portfolio diversification, even after the subprime crisis. The prohibition of riba,
gharar and maysir is one of the plausible reasons of no cointegration in the Islamic stock markets.
Originality/value – Using the Islamic stock indices, to the best of the authors’ knowledge, goes
clearly beyond the existing literature on the subject matter. |
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