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: Bakri, Abdul Karim, Nor Akila, Mohd. Kassim, Mohammad Affendy, Arip
Format: Article
Language:English
Published: Emerald Group Publishing Limited 2010
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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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spelling my.unimas.ir.179372021-04-30T07:44:42Z http://ir.unimas.my/id/eprint/17937/ The subprime crisis and Islamic stock markets integration Bakri, Abdul Karim Nor Akila, Mohd. Kassim Mohammad Affendy, Arip H Social Sciences (General) 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. Emerald Group Publishing Limited 2010 Article PeerReviewed text en http://ir.unimas.my/id/eprint/17937/13/Thesubprimecrisis.pdf Bakri, Abdul Karim and Nor Akila, Mohd. Kassim and Mohammad Affendy, Arip (2010) The subprime crisis and Islamic stock markets integration. International Journal of Islamic and Middle Eastern Finance and Management, 3 (4). pp. 363-371. ISSN 1753-8394 http://www.emeraldinsight.com/1753-8394.htm DOI 10.1108/17538391011093298
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic H Social Sciences (General)
spellingShingle H Social Sciences (General)
Bakri, Abdul Karim
Nor Akila, Mohd. Kassim
Mohammad Affendy, Arip
The subprime crisis and Islamic stock markets integration
description 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.
format Article
author Bakri, Abdul Karim
Nor Akila, Mohd. Kassim
Mohammad Affendy, Arip
author_facet Bakri, Abdul Karim
Nor Akila, Mohd. Kassim
Mohammad Affendy, Arip
author_sort Bakri, Abdul Karim
title The subprime crisis and Islamic stock markets integration
title_short The subprime crisis and Islamic stock markets integration
title_full The subprime crisis and Islamic stock markets integration
title_fullStr The subprime crisis and Islamic stock markets integration
title_full_unstemmed The subprime crisis and Islamic stock markets integration
title_sort subprime crisis and islamic stock markets integration
publisher Emerald Group Publishing Limited
publishDate 2010
url http://ir.unimas.my/id/eprint/17937/13/Thesubprimecrisis.pdf
http://ir.unimas.my/id/eprint/17937/
http://www.emeraldinsight.com/1753-8394.htm
_version_ 1698700769931296768
score 13.211869