 Spillovers between Sukuks and Shariah-compliant equity marketsFaruk Balli, Syed Billah, Hatice Balli and Anne De Bruin Pacific-Basin Finance Journal, 2022, vol. 72, issue C Abstract: In this paper, we quantify the directional spillovers from sukuk (Islamic bond) markets to Shariah-compliant equity markets and vice versa. The directions and magnitudes of spillovers are quite disperse among different countries and Islamic equity and sukuk markets. Novel to the literature, we find that profitability and liquidity positions of the Islamic firms and market size are highly influential on the magnitude of spillovers between two markets. In particular firms from deeper markets (higher market capitilization) with better liquidity position (better debt to asset ratios) makes less spillovers from sukuk and equity markets interestingly, deeper markets and higher profitability ratios of the firms makes greater spillovers from equity to sukuks markets. We also create a matched sample for 38 firms that issued both sukuks and Islamic equities. Implementing similar spillover models to the matched sample, we indicate that firm-level profitability and liquidity positions of firms are essential in modelling the magnitude of the spillovers between sukuks and equities. Keywords: Sukuks; Islamic equity indices; Spillovers; Liquidity and profitability ratios; Market size (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000208 DOI: 10.1016/j.pacfin.2022.101725 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 |
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