Spillovers on sectoral sukuk returns: evidence from country level analysis

Syed Billah, Faruk Balli and Hatice Balli

Applied Economics, 2022, vol. 54, issue 38, 4402-4432

Abstract: Even though numerous studies have looked at the spillover effects in Shari’ah compliant equity returns, little attention has been paid to exploring global shocks’ transmission to the sukuk (Islamic Bond) returns. Our paper attempts to fill this void by quantifying spillovers from developed countries on the sukuk returns of Islamic countries. In this paper, we create sukuk indices for financial and non-financial companies on country basis and, examine the global linkages with those sukuk indices. We have found that global sukuk markets affect the sukuk indices at different levels. A clear distinction would be that global sukuk markets have a substantial impact on the spillovers of the sukuk issued by financial corporations, while sukuk issued by non-financial corporations are more affected by the overall spillover effect the sukuk markets than spillovers from the global Islamic bond markets. Sub-sample analysis during the COVID-19 pandemic yield interesting findings, show that spillover of returns on the sukuk issued by financial corporations during the COVID-19 pandemic was higher than the sukuk issued by non-financial corporations. These findings are mostly consistent for all markets included in our sample and evidently, urge portfolio holders to make clear distinctions between sukuk issued by financial and non-financial corporations.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2022.2030049 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:54:y:2022:i:38:p:4402-4432

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2022.2030049

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().