IDEAS home Printed from https://ideas.repec.org/a/eme/jiabrp/jiabr-01-2014-0004.html
   My bibliography  Save this article

Analysis of value at risk of Sukuk and conventional bonds in Pakistan

Author

Listed:
  • Adeel Nasir
  • Umar Farooq

Abstract

Purpose - The purpose of this paper is to provide empirical evidence that Sukuk are different from conventional bonds from risk perspective. This study is about the comparative risk analysis of Sukuk and conventional bonds in Pakistan. Design/methodology/approach - Sample consists of 15 Sukuk and 30 Term Finance Certificates issued in Pakistan. Value at risk is deployed by using delta normal approach to calculate risk. Two portfolios are formed separately with equal investment of ₹3m to explore the maximum loss an investor would have in portfolio of Sukuk and conventional bonds separately. Findings - Results revealed that Sukuk are less risky and more stable instrument as compared to conventional bonds. Risk and stability of Sukuk are explained with diversification theory and liquidity perspective. It is found that correlation among most of Sukuk securities are less or negative, which help in diversifying their risk. However, the attribute of stability can be due to the few days of trading in case of Sukuk comparatively. Originality/value - Literature has explored the operational differences between conventional and Islamic bonds on theoretical basis. However, few studies explain their differences empirically especially with respect to risk in case of Pakistan where debt market is developing. Therefore, the originality of this research lies within its comparative investigation of risk for two securities that are different from their operational perspectives.

Suggested Citation

  • Adeel Nasir & Umar Farooq, 2017. "Analysis of value at risk of Sukuk and conventional bonds in Pakistan," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, vol. 8(4), pages 375-388, September.
    • Handle: RePEc:eme:jiabrp:jiabr-01-2014-0004
    DOI: 10.1108/JIABR-01-2014-0004
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/JIABR-01-2014-0004/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/JIABR-01-2014-0004/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/JIABR-01-2014-0004?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Paltrinieri, Andrea & Hassan, Mohammad Kabir & Bahoo, Salman & Khan, Ashraf, 2023. "A bibliometric review of sukuk literature," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 897-918.
    2. Islam Allaki & Marouane Nakhcha & Omar Kharbouch & Mamdouh Tlaty, 2024. "A Navigating Controversy and Growth: A Sukuk Study in the UK's Islamic Finance Landscape," Post-Print hal-04476409, HAL.
    3. Mukhtasor Mukhtasor & Lisa Listiana & Irvan Hermala & Najim Nur Fauziah, 2023. "Scaling up Renewable Energy Financing through Islamic Blended Finance: Case Study in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 634-644, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jiabrp:jiabr-01-2014-0004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.