THE ASYMME THE ASYMMETRIC EX TRIC EXCHANGE RA ANGE RATE PASS-THROUGH T ASS-THROUGH TO INFLATION IN THE SELECTED ASEAN COUNTRIES

Nevi Danila ()
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Nevi Danila: Prince Sultan University, Riyadh, Saudi Arabia

Bulletin of Monetary Economics and Banking, 2023, vol. 26, issue 1, 125-144

Abstract: The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility. Our results suggest that COVID-19 does not influence bond and sukuk market volatility in most of our samples. Furthermore, market sentiment does not exist in the fixed income market. The dominance of long-term investors in the fixed-income market could be the cause, especially given the minor impact of the pandemic on market volatility. In terms of risk, sukuk is less risky than its counterpart, and no statistical difference is found in risk before and during the COVID-19 pandemic for sukuk and bonds. Finally, sukuk may be considered a safe haven instrument in the financial market coupled with bonds as diversification tools in the investors’ portfolios.

Keywords: Sukuk; Bonds; COVID-19; Emerging markets; GARCH; VaR (search for similar items in EconPapers)
JEL-codes: G10 G11 G15 G40 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:26:y:2023:i:1e:p:125-144

DOI: 10.59091/1410-8046.2048

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