A comparative study between retail sukuk and retail bonds in Indonesia

Nevi Danila, Noor Azlina Azizan and Umara Noreen

International Journal of Business and Globalisation, 2023, vol. 33, issue 3, 373-386

Abstract: This research investigates the risk level of retail sukuk price fluctuation compared with conventional retail bonds and the secondary market behaviour of both investment instruments. Expected shortfall, generalised autoregressive conditional heteroskedasticity model and cointegration test are used to analyse series of retail sukuk and conventional retail bonds. The evidence of clustering volatility indicates an increase in domestic investors in the Indonesian capital market. The purpose of the government in expanding domestic individual investor base of the capital market is quite successful. Moreover, both investment instruments have benefits of diversification. The finding encourages fund managers to diversify the portfolio in the retail instruments. At the same time, the individual investors can increase their wealth through capital market.

Keywords: diversification; expected shortfall; GARCH; cointegration test; sukuk; bonds; Indonesia. (search for similar items in EconPapers)
Date: 2023
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