Dynamic transmissions between Sukuk and bond markets

Aktham Maghyereh and Basel Awartani ()

Research in International Business and Finance, 2016, vol. 38, issue C, 246-261

Abstract: In this article we contribute to the recent debate on the difference between Islamic bonds (Sukuk) and conventional bonds by investigating returns and volatility spillovers of Sukuk and global bonds with equities. The dynamic spillover index methodology proposed by Diebold and Yilmaz (2012) indicates different transmission mechanisms of Sukuk compared to bonds. The main distinctive features of the Sukuk market are the higher transmission of information from equities, and the weaker transmission of information from the Sukuk market to other markets. Thus, this paper highlights the importance of Sukuk in the strategic asset allocation and hedging of international investors.

Keywords: Islamic finance; Sukuk; Diversification; Volatility spillovers; Variance decomposition (search for similar items in EconPapers)
JEL-codes: C1 F3 G1 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531916300812
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:riibaf:v:38:y:2016:i:c:p:246-261

DOI: 10.1016/j.ribaf.2016.04.016

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().