Determining Financial Uncertainty through the Dynamics of Sukuk Bonds and Prices in Emerging Market Indices

Muhammad Safdar Sial, Jacob Cherian, Abdelrhman Meero, Asma Salman, Abdul Aziz Abdul Rahman, Sarminah Samad and Constantin Viorel Negrut
Additional contact information
Muhammad Safdar Sial: Department of Management Sciences, COMSATS University Islamabad (CUI), Islamabad 44000, Pakistan
Jacob Cherian: College of Business, Abu Dhabi University, Abu Dhabi P.O. Box 59911, United Arab Emirates
Abdelrhman Meero: College of Business Administration, Kingdom University, Riffa 40434, Bahrain
Abdul Aziz Abdul Rahman: College of Business Administration, Kingdom University, Riffa 40434, Bahrain
Sarminah Samad: Department of Business Administration, College of Business and Administration, Princess Nourah Bint Abdulrahman University, Riyadh 11671, Saudi Arabia
Constantin Viorel Negrut: Faculty of Economics and Business Administration, West University of Timisoara, 300006 Timisoara, Romania

Risks, 2022, vol. 10, issue 3, 1-13

Abstract: The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies the quantile regression technique. The study findings show that evidence of co-moment exists between the global emerging market index and Sukuk bond price returns, except the one. There is no impact of the financial uncertainty indicator reflected by the global volatility index (VIX) on the Sukuk index returns, and even this impact is negative for (VXEEM). The causal impact among the global emerging and Sukuk bond markets will help formulate future trading strategies in particular to Islamic bond markets.

Keywords: quantile regression; Sukuk; financial uncertainty; VIX; VXEEM (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:10:y:2022:i:3:p:61-:d:766857

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