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

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...

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Main Authors: Kassim, Salina, Abd. Majid, M. Shabri, Hamid, Zarinah
Format: Article
Language:English
Published: Inderscience Publishers 2011
Subjects:
HG Finance
HG4501 Stocks, investment, speculation
Online Access:http://irep.iium.edu.my/3259/
http://irep.iium.edu.my/3259/
http://irep.iium.edu.my/3259/
http://irep.iium.edu.my/3259/1/2011-Global_Financial_Crisis_and_M%27sian_Stock_Market-AAJFA%5B1%5D.pdf
id iium-3259
recordtype eprints
spelling iium-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
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HG Finance
HG4501 Stocks, investment, speculation
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
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.
format Article
author Kassim, Salina
Abd. Majid, M. Shabri
Hamid, Zarinah
author_facet Kassim, Salina
Abd. Majid, M. Shabri
Hamid, Zarinah
author_sort Kassim, Salina
title 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_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_sort 2007 global financial crisis and the malaysian stock market: a sectoral analysis
publisher Inderscience Publishers
publishDate 2011
url http://irep.iium.edu.my/3259/
http://irep.iium.edu.my/3259/
http://irep.iium.edu.my/3259/
http://irep.iium.edu.my/3259/1/2011-Global_Financial_Crisis_and_M%27sian_Stock_Market-AAJFA%5B1%5D.pdf
first_indexed 2023-09-18T20:11:01Z
last_indexed 2023-09-18T20:11:01Z
_version_ 1777407478102753280

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