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Contagion effects of the U.S subprime crisis GCC stock markets

Hamid, Zarinah (2012) Contagion effects of the U.S subprime crisis GCC stock markets. Research Report. s.n, Kuala Lumpur. (Unpublished)

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Abstract

The Objectives of this study are twofold: first, it is to investigate whether contagion effect of U.S sub-prime crisis present among Gulf Cooperation Council (GCC) stock market; second, it is to evaluate the impact of U.S sub-prime crisis on the long-run and short-run dynamic relationships between GCC stock markets and leading conventional and Islamic stock market around the globe, over the period from July 5, 2004 to August 14, 2010. Tests based on correlation coefficients indicate that contagion from the US sub-prime crisis occurred in Saudi Arabia, Abu Dhabi, and Qatar

Item Type: Monograph (Research Report)
Additional Information: 728/36070
Uncontrolled Keywords: Sub-prime crisis, GCC stock market, correlation, co-integration, diversification benefit
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HF Commerce > HF5001 Business. Business Administration > HF5469 Markets. Fairs
Kulliyyahs/Centres/Divisions/Institutes: Kulliyyah of Economics and Management Sciences > Department of Economics
Depositing User: Sr. Norsyaziela Zulkefli
Date Deposited: 13 May 2015 16:14
Last Modified: 13 May 2015 16:14
URI: http://irep.iium.edu.my/id/eprint/36070

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