The subprime crisis and islamic stock markets integration
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Please note that Internet Explorer version 8. Please refer to this blog post for more information. The aim of this paper is to investigate whether the dynamic integration across a large set of developed and emerging Islamic stock markets allows potential diversification benefits in tranquil and turmoil periods. Using the multivariate cointegration test, we find the presence of long-run equilibrium relationship among Islamic stock markets of similar economic grouping.
While, Islamic stock markets from different economic grouping are partially segmented. Empirical results of estimated Vector Error Correction Model provide a lowest level of short run integration among the economic grouping of European-Asian emerging markets, MENA-Latin American and European-Latin American Islamic stock markets.
In addition, the level of integration and causality relations among Islamic stock markets tends to change over time, mainly during periods characterized by financial crises. Overall, our results suggest that Shariah compliant stocks could offer potential diversification benefits by considering different economic grouping such as that in developed and emerging countries. Journals Books Register Sign in Sign in using your ScienceDirect credentials Username.
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The subprime crisis and Islamic stock markets integration: International Journal of Islamic and Middle Eastern Finance and Management: Vol 3, No 4
Please enable JavaScript to use all the features on this page. Borsa Istanbul Review Volume 15, Issue 2 , June , Pages open access.
Islamic stock markets and potential diversification benefits. Author links open the author workspace. Opens the author workspace Opens the author workspace a.
Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Yousra Trichilli. Opens the author workspace b.
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Click to expose these in author workspace a Faculty of Economics and Management of Sfax, University of Sfax, Unit of Research in Applied Economics — UREA, Tunisia b University of Sfax, Unit of Research in Applied Economics — UREA, Tunisia.
Open Access funded by Borsa Istanbul Anonim Sirketi. Under a Creative Commons license. Abstract The aim of this paper is to investigate whether the dynamic integration across a large set of developed and emerging Islamic stock markets allows potential diversification benefits in tranquil and turmoil periods. Production and hosting by Elsevier B. Elsevier About ScienceDirect Remote access Shopping cart Contact and support Terms and conditions Privacy policy.
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