Dynamic transmissions between Sukuk and bond markets

Aktham I. Maghyereh; Basel Awartani

doi:10.1016/j.ribaf.2016.04.016

Dynamic transmissions between Sukuk and bond markets

Aktham I. Maghyereh, Basel Awartani

Research output: Contribution to journal › Article › peer-review

51 Citations (Scopus)

Abstract

In this article we contribute to the recent debate on the difference between Islamic bonds (Sukuk) and conventional bonds by investigating returns and volatility spillovers of Sukuk and global bonds with equities. The dynamic spillover index methodology proposed by Diebold and Yilmaz (2012) indicates different transmission mechanisms of Sukuk compared to bonds. The main distinctive features of the Sukuk market are the higher transmission of information from equities, and the weaker transmission of information from the Sukuk market to other markets. Thus, this paper highlights the importance of Sukuk in the strategic asset allocation and hedging of international investors.

Original language	English
Pages (from-to)	246-261
Number of pages	16
Journal	Research in International Business and Finance
Volume	38
DOIs	https://doi.org/10.1016/j.ribaf.2016.04.016
Publication status	Published - Sept 1 2016

Keywords

Diversification
Islamic finance
Sukuk
Variance decomposition
Volatility spillovers

ASJC Scopus subject areas

Business, Management and Accounting (miscellaneous)
Finance

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10.1016/j.ribaf.2016.04.016

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title = "Dynamic transmissions between Sukuk and bond markets",

abstract = "In this article we contribute to the recent debate on the difference between Islamic bonds (Sukuk) and conventional bonds by investigating returns and volatility spillovers of Sukuk and global bonds with equities. The dynamic spillover index methodology proposed by Diebold and Yilmaz (2012) indicates different transmission mechanisms of Sukuk compared to bonds. The main distinctive features of the Sukuk market are the higher transmission of information from equities, and the weaker transmission of information from the Sukuk market to other markets. Thus, this paper highlights the importance of Sukuk in the strategic asset allocation and hedging of international investors.",

keywords = "Diversification, Islamic finance, Sukuk, Variance decomposition, Volatility spillovers",

author = "Maghyereh, {Aktham I.} and Basel Awartani",

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AU - Maghyereh, Aktham I.

AU - Awartani, Basel

PY - 2016/9/1

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N2 - In this article we contribute to the recent debate on the difference between Islamic bonds (Sukuk) and conventional bonds by investigating returns and volatility spillovers of Sukuk and global bonds with equities. The dynamic spillover index methodology proposed by Diebold and Yilmaz (2012) indicates different transmission mechanisms of Sukuk compared to bonds. The main distinctive features of the Sukuk market are the higher transmission of information from equities, and the weaker transmission of information from the Sukuk market to other markets. Thus, this paper highlights the importance of Sukuk in the strategic asset allocation and hedging of international investors.

AB - In this article we contribute to the recent debate on the difference between Islamic bonds (Sukuk) and conventional bonds by investigating returns and volatility spillovers of Sukuk and global bonds with equities. The dynamic spillover index methodology proposed by Diebold and Yilmaz (2012) indicates different transmission mechanisms of Sukuk compared to bonds. The main distinctive features of the Sukuk market are the higher transmission of information from equities, and the weaker transmission of information from the Sukuk market to other markets. Thus, this paper highlights the importance of Sukuk in the strategic asset allocation and hedging of international investors.

KW - Diversification

KW - Islamic finance

KW - Sukuk

KW - Variance decomposition

KW - Volatility spillovers

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JO - Research in International Business and Finance

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Dynamic transmissions between Sukuk and bond markets

Abstract

Keywords

ASJC Scopus subject areas

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