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This paper examines the impact ofglobalfinancial crisis on the Malaysian Islamic stock market integration with the world. We use the International Capital Asset Pricing Model (ICAPM) and moving average to derive the integration index. The results show that the degree of market integration is time-varying. We found evidence that during the crisis, the Malaysian Islamic stock market was obviously segmented from the world market. Therefore the Malaysian Islamic stock market providesopportunityfor the potential benefits from international portfolio diversification during the crisis. The prohibition of riba (interest),maysir(gambling) andgharar(uncertainties) along with Islamic values of justice, fairnessandavoidance of exploitation are some ofpossiblereason to avoid the Islamic stock market from the financial crisis. |
