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The 2007 global financial crisis and the Malaysian stock market: a sectoral analysis

Kassim, Salina and Abd. Majid, M. Shabri and Hamid, Zarinah (2011) The 2007 global financial crisis and the Malaysian stock market: a sectoral analysis. Afro-Asian Journal of Finance and Accounting, 2 (3). pp. 185-209. ISSN 1751-6447

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Abstract

The study assesses the impact of the 2007 US sub-prime crisis on the Malaysian stock market by analysing both the benchmark and sectoral indices. Specifically, it empirically examines the integration of the Malaysian, US and Japanese stock markets at the sectoral level, such as finance, manufacturing, property, industrial products and consumer products in the periods before and during the 2007 sub-prime crisis (September 2006 to May 2009). By adopting the co-integration and vector autoregressions (VAR) methods, the study documents that the nature of integration of the three markets changes due to the crisis. While there are diversification benefits in these markets at the initial stage of the crisis, there seems to be no diversification benefits in the stock markets in a prolonged ‘down market’. In a short time horizon, ‘market panic’ results in investors to withdraw funds in the crisis country and invest in other countries with calmer markets.

Item Type: Article (Journal)
Additional Information: 4600/3259
Uncontrolled Keywords: Stock market integration; Diversification benefits; Global financial crisis; sectoral indices;
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Dr. Zarinah Hamid
Date Deposited: 21 Sep 2011 02:48
Last Modified: 04 Jun 2014 21:40
URI: http://irep.iium.edu.my/id/eprint/3259

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