Financial Crisis and Segmentation of Islamic Stock Market

• Autorzy: Bakri Abdul Karim , Zulkefly Abdul Karim
• Języki publikacji: EN

Abstrakty

EN

This paper examines the impact of global financial crisis on the Malaysian Islamic stock market integration with the world. We use the International Capital Asset Pricing Model (ICAPM) and moving average to derive the integration index. The results show that the degree of market integration is time-varying. We found evidence that during the crisis, the Malaysian Islamic stock market was obviously segmented from the world market. Therefore the Malaysian Islamic stock market provides opportunity for the potential benefits from international portfolio diversification during the crisis. The prohibition of riba (interest), maysir (gambling) and gharar (uncertainties) along with Islamic values of justice, fairness and avoidance of exploitation are some of possible reason to avoid the Islamic stock market from the financial crisis. (original abstract)

Słowa kluczowe

EN

Financial crisis; Islam finance; Stock markets; Stock exchange; Capital Asset Pricing Model (CAPM)

PL

Kryzys finansowy; Finanse islamskie; Rynki giełdowe; Giełda; Model wyceny aktywów kapitałowych

• Czasopismo: Perspectives of Innovations, Economics and Business
• Rocznik: 2017
• Tom: 17
• Numer: nr 2
• Strony: 95--100

Twórcy

autor

Bakri Abdul Karim

• Universiti Malaysia Sarawak (UNIMAS), Sarawak, Malaysia

autor

Zulkefly Abdul Karim

• Universiti Kebangsaan Malaysia (UKM), Selangor, Malaysia

Bibliografia

• Abd. Majid, M.S., Mohd. Yusof, R., & Razali, A.N. (2007). Dynamic financial linkages among selected OIC Countries. Journal of Economic Cooperation among Muslim countries, 28(2), 25-56.
• Abdul Majid, M.S., & Kassim, S.H. (2009). Impact of the 2007 US financial crisis on the emerging equity markets. International Journal of Emerging Markets, 4(4), 341-357.
• Abdul Majid, M.S., & Kassim, S.H. (2010). Potential diversification benefits across global Islamic equity markets. Journal of Economic Cooperation and Development, 31(4), 103-126.
• Ahmed, A. (2010). Global financial crisis: an Islamic finance perspective. International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 306-320.
• Arshanapalli, B., & Doukas. J. (1993). International stock market linkages: Evidence from the pre- and post-October 1987 period. Journal of Banking and Finance, 17, 193-208.
• Bley, J., & Chen, K.H. (2006). Gulf Cooperation Council (GCC) stock markets: the dawn of a new era. Global Finance Journal, 17, 75-91
• Bursa Malaysia (2010). The Islamic Capital Market Brochure. Bursa Malaysia Kuala Lumpur.
• Darrat, G., & Wallace, M. (1992). On the integration of emerging stock markets in the Middle East. Journal of Economic Development, 25, 119-129.
• Fama, E.F., & French, K.R. (2004). The capital asset pricing model: theory and evidence. Jpurnal of Economic Perspectives, 18(3), 25-46.
• Forbes, K., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market co-movements. The Journal of Finance, 57(5), 2223-2261.
• Francis, I., Kim, S., & Yoon, J.H. (2002). International stock market linkages: Evidence from the Asian financial crisis. Journal of Emerging Market Finance, 1, 1-29.
• Karim, B.A., Kassim, N.A.M., & Arip, M.A. (2010). The suprime crisis and Islamic stock markets integration. International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 363-371.
• Kassim, S.H., & Abdul Majid, M.S. (2010). Impact of financial shocks on Islamic banks: Malaysia evidence during 1997 and 2007 financial crises. International Journal of Islamic and Middle Eastern Finance and Management, 3(4), 291-305.
• Korajczyk, R.A. (1996). A measure of stock market integration for developed and emerging markets. World Bank Economic Review, 10, 267-289.
• Kun, Y.B., Arsad, Z., & Wooi, H.C. (2010). The impact of financial crises on the interaction of small emerging market. Proceedings of International Conference on Business and Economic Research (ICBER), 15-16 March 2010, Kuching, Sarawak.
• Levine, R., & Zervos, S. (1998). Stock markets, banks, and economic growth. American Economic Review, 88(3), 537-558.
• Marashdeh, H. (2005). Stock market integration in the MENA Region: an application of the ARDL bounds testing approach. Working Paper, 5(27), University of Wollongong.
• Siddiqui, R. (2008). Contributing to the development of the Islamic capital market: the Dow Jones Citigroup Sukuk Index. Dow Jones Islamic Market Index Newsletter, December 2008. Assessed at: http://www.djindexes.com/mdsidx/downloads/newsletters/Islamic/DJ_Islamic_Market_Index_Newsletter_200812.pdf. Date Accessed,  Nov 12, 2011.
• Yang, J., Kolari, J.W., & Min, I. (2003). Stock market integration and financial crisis: the case of Asia. Applied Financial Economics, 13, 477-486.
• Yang, T. (2002). Crisis, contagion, and East Asian stock markets. Economic and Finance, 1, 1-44.

Identyfikatory

DOI

10.15208/pieb.2017.07