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The subprime crisis and stock index futures markets integration

The purpose of this paper is to examine the effects of the current global crisis on the integration and co-movements of selected stock index futures markets. Design/methodology/approach – Time series techniques of cointegration and weekly data covering the period from January 2001 to December 2009 w...

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Main Authors: Karim, Bakri Abdul, Jais, Mohamad
Format: Working Paper
Language:English
Published: Emerald 2011
Subjects:
HF Commerce
HG Finance
Online Access:http://ir.unimas.my/id/eprint/236/1/The_subprime_crisis_and_stock_index.pdf
http://ir.unimas.my/id/eprint/236/
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spelling my.unimas.ir.2362020-08-12T06:35:11Z http://ir.unimas.my/id/eprint/236/ The subprime crisis and stock index futures markets integration Karim, Bakri Abdul Jais, Mohamad HF Commerce HG Finance The purpose of this paper is to examine the effects of the current global crisis on the integration and co-movements of selected stock index futures markets. Design/methodology/approach – Time series techniques of cointegration and weekly data covering the period from January 2001 to December 2009 were used in this study. The period of analysis was divided into two periods, namely the pre-crisis period (January 2001-July 2007) and during crisis period (August 2007-December 2009). Findings – No evidence was found of cointegration among the stock index futures markets in both periods. Accordingly, the 2007 subprime crisis does not seem to affect the long-run co-movements among the stock index futures markets. Practical implications – The stock index futures markets provide opportunity for the potential benefits from international portfolio diversification and hedging strategies even after the subprime crisis. The stock index futures significantly extended the variety of investment and risk management strategies available to investors. Originality/value – Examining the effects of the US subprime crisis on the stock index futures markets integration, to the best of the authors’ knowledge, goes clearly beyond the existing literature on the subject matter. Emerald 2011 Working Paper NonPeerReviewed text en http://ir.unimas.my/id/eprint/236/1/The_subprime_crisis_and_stock_index.pdf Karim, Bakri Abdul and Jais, Mohamad (2011) The subprime crisis and stock index futures markets integration. [Working Paper]
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 HF Commerce
HG Finance
spellingShingle HF Commerce
HG Finance
Karim, Bakri Abdul
Jais, Mohamad
The subprime crisis and stock index futures markets integration
description The purpose of this paper is to examine the effects of the current global crisis on the integration and co-movements of selected stock index futures markets. Design/methodology/approach – Time series techniques of cointegration and weekly data covering the period from January 2001 to December 2009 were used in this study. The period of analysis was divided into two periods, namely the pre-crisis period (January 2001-July 2007) and during crisis period (August 2007-December 2009). Findings – No evidence was found of cointegration among the stock index futures markets in both periods. Accordingly, the 2007 subprime crisis does not seem to affect the long-run co-movements among the stock index futures markets. Practical implications – The stock index futures markets provide opportunity for the potential benefits from international portfolio diversification and hedging strategies even after the subprime crisis. The stock index futures significantly extended the variety of investment and risk management strategies available to investors. Originality/value – Examining the effects of the US subprime crisis on the stock index futures markets integration, to the best of the authors’ knowledge, goes clearly beyond the existing literature on the subject matter.
format Working Paper
author Karim, Bakri Abdul
Jais, Mohamad
author_facet Karim, Bakri Abdul
Jais, Mohamad
author_sort Karim, Bakri Abdul
title The subprime crisis and stock index futures markets integration
title_short The subprime crisis and stock index futures markets integration
title_full The subprime crisis and stock index futures markets integration
title_fullStr The subprime crisis and stock index futures markets integration
title_full_unstemmed The subprime crisis and stock index futures markets integration
title_sort subprime crisis and stock index futures markets integration
publisher Emerald
publishDate 2011
url http://ir.unimas.my/id/eprint/236/1/The_subprime_crisis_and_stock_index.pdf
http://ir.unimas.my/id/eprint/236/
_version_ 1675331203978231808
score 13.211869

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