The 2007 global financial crisis and the Malaysian stock market: a sectoral analysis
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, manufactu...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Inderscience Publishers
2011
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/3259/1/2011-Global_Financial_Crisis_and_M%27sian_Stock_Market-AAJFA%5B1%5D.pdf |
| _version_ | 1796874985539633152 |
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| author | Kassim, Salina Abd. Majid, M. Shabri Hamid, Zarinah |
| author_facet | Kassim, Salina Abd. Majid, M. Shabri Hamid, Zarinah |
| author_sort | Kassim, Salina |
| collection | IIUM |
| description | 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.
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| first_indexed | 2024-03-05T22:32:16Z |
| format | Article |
| id | oai:generic.eprints.org:3259 |
| institution | International Islamic University Malaysia |
| language | English |
| last_indexed | 2024-03-05T22:32:16Z |
| publishDate | 2011 |
| publisher | Inderscience Publishers |
| record_format | dspace |
| spelling | oai:generic.eprints.org:32592014-06-04T13:40:05Z http://irep.iium.edu.my/3259/ The 2007 global financial crisis and the Malaysian stock market: a sectoral analysis Kassim, Salina Abd. Majid, M. Shabri Hamid, Zarinah HG Finance HG4501 Stocks, investment, speculation 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. Inderscience Publishers 2011-07 Article PeerReviewed application/pdf en http://irep.iium.edu.my/3259/1/2011-Global_Financial_Crisis_and_M%27sian_Stock_Market-AAJFA%5B1%5D.pdf 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 http://www.ingentaconnect.com/content/ind/aajfa/2011/00000002/00000003/art00001 10.1504/AAJFA.2011.041629 |
| spellingShingle | HG Finance HG4501 Stocks, investment, speculation Kassim, Salina Abd. Majid, M. Shabri Hamid, Zarinah The 2007 global financial crisis and the Malaysian stock market: a sectoral analysis |
| title | The 2007 global financial crisis and the Malaysian
stock market: a sectoral analysis |
| title_full | The 2007 global financial crisis and the Malaysian
stock market: a sectoral analysis |
| title_fullStr | The 2007 global financial crisis and the Malaysian
stock market: a sectoral analysis |
| title_full_unstemmed | The 2007 global financial crisis and the Malaysian
stock market: a sectoral analysis |
| title_short | The 2007 global financial crisis and the Malaysian
stock market: a sectoral analysis |
| title_sort | 2007 global financial crisis and the malaysian stock market a sectoral analysis |
| topic | HG Finance HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/3259/1/2011-Global_Financial_Crisis_and_M%27sian_Stock_Market-AAJFA%5B1%5D.pdf |
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