When It Comes to Risk, is Sukuk Better Than Conventional Bonds? A Comparative Study of NASDAQ Securities

Ahmed-Nur Ali Farah, Alija Avdukic and Fawad Khaleel ()
Additional contact information
Ahmed-Nur Ali Farah: Alfurqan Centre

Chapter Chapter 17 in Wealth Management and Investment in Islamic Settings, 2022, pp 283-312 from Springer

Abstract: Abstract This chapter analyses the risk levels of sukuk portfolio compared to conventional bonds, using a sample data that is extracted from daily closing prices of Sukuk and bonds that are traded in Nasdaq Dubai’s security market. The recent data show that global interest in Sukuk instruments as an alternative source of financing has risen, due to its asset back structure. Whereas, discussion founded on the distinct riskiness of Sukuk, when compared to conventional bonds, remains a contentious topic. We conduct a comparative analysis on the risks associated with Sukuk and conventional. We examine the risk levels by measuring and comparing VaR values of both Sukuk and traditional bonds. We also conduct historical and Monte Carlo simulation by incorporating the daily returns of 15 Sukuk and 15 conventional bonds sampled from the Nasdaq Dubai's security market. Results highlight that the daily returns of Sukuk and conventional bonds are significantly different as Sukuk are exposed to daily losses compared to conventional bonds leading to the conclusion that a Sukuk portfolio is riskier than conventional bonds.

Keywords: Sukuk market; Conventional bond; Value at Risk (VaR); Dubai; Security Market (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-981-19-3686-9_17

Ordering information: This item can be ordered from
http://www.springer.com/9789811936869

DOI: 10.1007/978-981-19-3686-9_17

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().