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Co-integration of Sukuk and Bond Yields - Evidence from Globally Placed Sukuk

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  • Jamshed Y. Uppal, Inayat Ullah Mangla

    (Catholic University of America, Washington DC, USA)

Abstract

The study addresses the question ``How do the financial markets perceive and price internationally issued Islamic bonds?'' It is examined by empirically testing for the evidence of co-integration of sukuk yields with the US Treasury yields using Vector Error Correction (VEC) models. Our results indicate that the sukuk yields are highly co-integrated with the US Treasury yields in long-term relationships. The short-term dynamics of the sukuk yields with the interest rate series is, however, complex showing bi-directional influences. We infer that the international financial markets are viewing and pricing sukuk in a manner similar to that for the conventional bonds.

Suggested Citation

  • Jamshed Y. Uppal, Inayat Ullah Mangla, 2017. "Co-integration of Sukuk and Bond Yields - Evidence from Globally Placed Sukuk," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(1), pages 106-115, March.
    • Handle: RePEc:gei:journl:v:4:y:2017:i:1:p:106-115
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    References listed on IDEAS

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    Cited by:

    1. Muhammad Safdar Sial & Jacob Cherian & Abdelrhman Meero & Asma Salman & Abdul Aziz Abdul Rahman & Sarminah Samad & Constantin Viorel Negrut, 2022. "Determining Financial Uncertainty through the Dynamics of Sukuk Bonds and Prices in Emerging Market Indices," Risks, MDPI, vol. 10(3), pages 1-13, March.

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