EconPapers    
Economics at your fingertips  
 

Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?

Nader Naifar and Shawkat Hammoudeh

Pacific-Basin Finance Journal, 2016, vol. 39, issue C, 57-69

Abstract: We investigate the dynamics of the co-movement and causal relationship of the GCC sukuk (Islamic bond) returns with global financial distress and various uncertainty factors (including financial and commodity market and economic policy uncertainty indices), using the quantile regression analysis. The empirical results demonstrate that these global financial, economic policy and oil uncertainties have negative impacts and causality effects on the GCC sukuk returns, which is limited to the lower quantiles (bearish GCC markets). The global financial distress has a negative impact and a causality effect on GCC sukuk but only for the upper quantiles (when the sukuk returns are high). Interestingly, the GCC sukuk returns are not affected by the conventional bond market and gold market uncertainties. For comparison purpose, we examine the impacts of global financial distress and uncertainty factors on the global sukuk index, which is much wider than the GCC index, and find that this index is mainly affected by the global conventional bond market uncertainty. The results show also that the GCC sukuk are more sensitive to the global uncertainty factor, mainly in the tail distributions, than the global sukuk, offering investors different investment alternatives and portfolio diversification opportunities.

Keywords: Sukuk; Uncertainty factors; Financial distress; Implied volatility; Quantile regression (search for similar items in EconPapers)
JEL-codes: C31 C58 G12 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X16300750
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:39:y:2016:i:c:p:57-69

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Series data maintained by Dana Niculescu ().

 
Page updated 2017-10-01
Handle: RePEc:eee:pacfin:v:39:y:2016:i:c:p:57-69