To read the full version of this content please select one of the options below:

The subprime crisis and stock index futures markets integration

Bakri Abdul Karim (Department of Business, Faculty of Economics and Business, Universiti Malaysia Sarawak, Kota Samarahan, Malaysia)
Mohamad Jais (Department of Business, Faculty of Economics and Business, Universiti Malaysia Sarawak, Kota Samarahan, Malaysia)
Samsul Ariffin Abdul Karim (Universiti Teknologi Petronas, Teronoh, Malaysia)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 8 November 2011

Abstract

Purpose

The purpose of this paper is to examine the effects of the current global crisis on the integration and co‐movements of selected stock index futures markets.

Design/methodology/approach

Time series techniques of cointegration and weekly data covering the period from January 2001 to December 2009 were used in this study. The period of analysis was divided into two periods, namely the pre‐crisis period (January 2001‐July 2007) and during crisis period (August 2007‐December 2009).

Findings

No evidence was found of cointegration among the stock index futures markets in both periods. Accordingly, the 2007 subprime crisis does not seem to affect the long‐run co‐movements among the stock index futures markets.

Practical implications

The stock index futures markets provide opportunity for the potential benefits from international portfolio diversification and hedging strategies even after the subprime crisis. The stock index futures significantly extended the variety of investment and risk management strategies available to investors.

Originality/value

Examining the effects of the US subprime crisis on the stock index futures markets integration, to the best of the authors' knowledge, goes clearly beyond the existing literature on the subject matter.

Keywords

Citation

Abdul Karim, B., Jais, M. and Ariffin Abdul Karim, S. (2011), "The subprime crisis and stock index futures markets integration", Journal of Risk Finance, Vol. 12 No. 5, pp. 400-408. https://doi.org/10.1108/15265941111176136

Publisher

:

Emerald Group Publishing Limited

Copyright © 2011, Emerald Group Publishing Limited