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Dynamic transmissions between Sukuk and bond markets

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  • Maghyereh, Aktham I.
  • Awartani, Basel

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.

Suggested Citation

  • Maghyereh, Aktham I. & Awartani, Basel, 2016. "Dynamic transmissions between Sukuk and bond markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 246-261.
    • Handle: RePEc:eee:riibaf:v:38:y:2016:i:c:p:246-261
    DOI: 10.1016/j.ribaf.2016.04.016
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    More about this item

    Keywords

    Islamic finance; Sukuk; Diversification; Volatility spillovers; Variance decomposition;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets

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