Publication:
The impact of subprime crisis on Asia-Pacific Islamic stock markets
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Date
2015
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Abstract
The objective of this study is to examine the impact of the U.S. subprime crisis on the long-term and short-term dynamic relationships between selected Asia-Pacific Islamic stock markets and conventional stock markets in the region. The comovements among these stock markets are examined through cointegration tests, and vector error correction model-based Granger causality tests, for the period from February 2006 to December 2010. The study reveals that, after the debut of the U.S. subprime crisis, Asia-Pacific Islamic stock markets increasingly integrated among themselves and with their conventional counterparts. In addition, the conventional markets of the United States and Japan significantly influence the short-run fluctuations of Asia-Pacific Islamic and conventional markets.
Keywords
U.S. subprime crisis , Asia-Pacific Islamic stock markets , Cointegration , VECM , Granger causality
Citation
Zhang, A. H., & Hamid, Z. (2015). The impact of subprime crisis on Asia-Pacific Islamic stock markets. Journal of Asia-Pacific Business, 16(2), 105-127. https://doi.org/10.1080/10599231.2015.1028304
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Taylor & Francis
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