The Portfolio Advantages of Sukuk: Dynamic Correlations Between Bonds and Sukuk

• 발행기관: 한국유통과학회
• 저자명: Abdullah ALFALAH Simon STEVENSON Eamonn D’ARCY
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』The Journal of Asian Finance, Economics, and Business Vol. 9 No.4, 13~28쪽, 전체 16쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.04.30

영문 초록

The growth of the Islamic finance sector has been well-documented. One of the most booming sectors has been Sukuk. According to several past studies, non-Islamic investors’ interest in Sukuk is due, at least in part, to the diversification benefits that Sukuk provides in the context of a fixed-income portfolio. This paper compares a pair between Sukuk and Bonds in the Malaysian market issued by the same issuer to have an unbiased comparison. Using unconditional correlation methodology provides an initial examination of the relationship between the matched pairs. In addition, this paper adopts the standard GARCH-DCC approach of Engle (2002). This is a generalization of the Bollserslev (1990) GARCH model, allowing for the conditional correlation matrices to be time-varying. The findings reveal that the correlation between bonds and Sukuk is similar to that of bonds, making Sukuk a less appealing type of bond from a diversification standpoint. There are no significant differences between Sukuk and bonds. These finding questions the previously considered differences among different types of Sukuk and supports the argument that some Sukuk might not be compliant with Islamic rules and their structure, as contracts have the same risks for Sukuk holders regardless of the type of Sukuk.

목차

1. Introduction

2. Sukuk Financial Products

3. Literature Review

4. Data and Methodology

5. Empirical Results

6. Concluding Comments

References

키워드

Sukuk Bonds Islamic Finance Diversification Dynamic Conditional Correlations Malaysia