International Equity Market Integration: An Analysis of the Islamic Capital Markets

This study intends to establish new evidence on the allegation that emerging markets tend to be partially integrated at the regional level but remain segmented from the world equity markets. This objective is achieved through investigating the integration between Malaysia and most important playe...

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Main Authors: Ruzita Abdul Rahim, Hawati Janor, Mohammed Zain Yusof, Ros Zamzam Sapian
Format: Article
Language:English
Published: Universiti Sains Islam Malaysia 2012
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Online Access:http://ddms.usim.edu.my/handle/123456789/5356
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spelling my.usim-53562015-03-02T06:26:59Z International Equity Market Integration: An Analysis of the Islamic Capital Markets Ruzita Abdul Rahim Hawati Janor Mohammed Zain Yusof Ros Zamzam Sapian Islamic capital markets Stock market integration International Islamic Portfolio Diversification This study intends to establish new evidence on the allegation that emerging markets tend to be partially integrated at the regional level but remain segmented from the world equity markets. This objective is achieved through investigating the integration between Malaysia and most important players in world equity markets, namely US, UK, Japan and Canada as well as Europe, emerging and developed market on a more regional and global platforms. In this study, Asia Pacific serves the role of Malaysian's regional market. But more importantly, this study could be the first of its kind to establish evidence on stock market integration from the new but highly progressive Islamic stock markets (ISM). This is done by utilizing the Dow Jones Islamic Market indices for the selected markets, from the most recent period of 1999:06 to 2007:06. The analysis of the structure of dynamic linkages among the selected Islamic stock markets utilizes the vector-autoregressive analysis (VAR). The results from the analyses lead to the following conclusions; (i) in general the dynamic interdependence between Malaysian ISM and the other major markets are still weak, (ii) there is a relatively stronger interdependence between ISM of Malaysia and the US than those between Malaysia and other markets including Japan, and (iii) there is some evidence suggesting stronger intra- than inter-regional integration based on the interdependencies between Malaysia and Asia Pacific and World Emerging markets. Overall, the findings imply a great prospect for Malaysian Islamic equity markets to be promoted as a viable investment vehicle for the advanced markets to improve their portfolio diversification. 2012-02-28T06:06:58Z 2012-02-28T06:06:58Z 2008 Article 1823075X http://ddms.usim.edu.my/handle/123456789/5356 en vol.5 no.1 2008; Universiti Sains Islam Malaysia
institution Universiti Sains Islam Malaysia
building USIM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universit Sains Islam i Malaysia
content_source USIM Institutional Repository
url_provider http://ddms.usim.edu.my/
language English
topic Islamic capital markets
Stock market integration
International Islamic Portfolio Diversification
spellingShingle Islamic capital markets
Stock market integration
International Islamic Portfolio Diversification
Ruzita Abdul Rahim
Hawati Janor
Mohammed Zain Yusof
Ros Zamzam Sapian
International Equity Market Integration: An Analysis of the Islamic Capital Markets
description This study intends to establish new evidence on the allegation that emerging markets tend to be partially integrated at the regional level but remain segmented from the world equity markets. This objective is achieved through investigating the integration between Malaysia and most important players in world equity markets, namely US, UK, Japan and Canada as well as Europe, emerging and developed market on a more regional and global platforms. In this study, Asia Pacific serves the role of Malaysian's regional market. But more importantly, this study could be the first of its kind to establish evidence on stock market integration from the new but highly progressive Islamic stock markets (ISM). This is done by utilizing the Dow Jones Islamic Market indices for the selected markets, from the most recent period of 1999:06 to 2007:06. The analysis of the structure of dynamic linkages among the selected Islamic stock markets utilizes the vector-autoregressive analysis (VAR). The results from the analyses lead to the following conclusions; (i) in general the dynamic interdependence between Malaysian ISM and the other major markets are still weak, (ii) there is a relatively stronger interdependence between ISM of Malaysia and the US than those between Malaysia and other markets including Japan, and (iii) there is some evidence suggesting stronger intra- than inter-regional integration based on the interdependencies between Malaysia and Asia Pacific and World Emerging markets. Overall, the findings imply a great prospect for Malaysian Islamic equity markets to be promoted as a viable investment vehicle for the advanced markets to improve their portfolio diversification.
format Article
author Ruzita Abdul Rahim
Hawati Janor
Mohammed Zain Yusof
Ros Zamzam Sapian
author_facet Ruzita Abdul Rahim
Hawati Janor
Mohammed Zain Yusof
Ros Zamzam Sapian
author_sort Ruzita Abdul Rahim
title International Equity Market Integration: An Analysis of the Islamic Capital Markets
title_short International Equity Market Integration: An Analysis of the Islamic Capital Markets
title_full International Equity Market Integration: An Analysis of the Islamic Capital Markets
title_fullStr International Equity Market Integration: An Analysis of the Islamic Capital Markets
title_full_unstemmed International Equity Market Integration: An Analysis of the Islamic Capital Markets
title_sort international equity market integration: an analysis of the islamic capital markets
publisher Universiti Sains Islam Malaysia
publishDate 2012
url http://ddms.usim.edu.my/handle/123456789/5356
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score 13.034894