Modeling dependence structure between green sukuk spread in Malaysia and the uncertainty factors before and during the COVID-19 pandemic

IF 2.5 Q2 BUSINESS, FINANCE

Journal of Islamic Accounting and Business Research Pub Date : 2023-11-06 DOI:10.1108/jiabr-10-2022-0285

Fatma Hariz, Taicir Mezghani, Mouna Boujelbène Abbes

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引用次数: 0

Abstract

Purpose This paper aims to analyze the dependence structure between the Green Sukuk Spread in Malaysia and uncertainty factors from January 1, 2017, to May 23, 2023, covering two main periods: the pre-COVID-19 and the COVID-19 periods. Design/methodology/approach This study contributes to the current literature by explicitly modeling nonlinear dependencies using the Regular vine copula approach to capture asymmetric characteristics of the tail dependence distribution. This study used the Archimedean copula models: Student’s- t , Gumbel, Gaussian, Clayton, Frank and Joe, which exhibit different tail dependence structures. Findings The empirical results suggest that Green Sukuk and various uncertainty variables have the strongest co-dependency before and during the COVID-19 crisis. Due to external uncertainties (COVID-19), the results reveal that global factors, such as the Infect-EMV-index and the higher financial stress index, significantly affect the spread of Green Sukuk. Interestingly, in times of COVID-19, its dependence on Green Sukuk and the news sentiment seems to be a symmetric tail dependence with a Student’s- t copula. This result is relevant for hedging strategies, as investors can enhance the performance of their portfolio during the COVID-19 crash period. Originality/value This study contributes to a better understanding of the dependency structure between Green Sukuk and uncertainty factors. It is relevant for market participants seeking to improve their risk management for Green Sukuk.

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新冠疫情前及期间马来西亚绿色伊斯兰债券利差与不确定性因素的依赖结构建模

本文旨在分析2017年1月1日至2023年5月23日期间马来西亚绿色伊斯兰债券利差与不确定性因素之间的依赖结构，涵盖两个主要时期:新冠肺炎前和新冠肺炎时期。设计/方法/方法本研究通过使用正则藤copula方法明确建模非线性依赖关系来捕获尾部依赖分布的不对称特征，从而为当前文献做出了贡献。本研究采用阿基米德copula模型:Student 's - t, Gumbel, Gaussian, Clayton, Frank和Joe，它们表现出不同的尾部依赖结构。研究结果表明，绿色伊斯兰债券与各种不确定性变量在疫情前和危机期间的相互依赖性最强。由于外部不确定性(COVID-19)，结果显示全球因素，如感染- emv指数和较高的金融压力指数，显著影响绿色伊斯兰债券的传播。有趣的是，在COVID-19时期，其对绿色伊斯兰债券和新闻情绪的依赖似乎是一种对称的尾部依赖，具有Student 's - t关系。这一结果与对冲策略相关，因为投资者可以在COVID-19崩盘期间提高其投资组合的绩效。本研究有助于更好地理解绿色伊斯兰债券与不确定性因素之间的依赖结构。这与寻求改善绿色伊斯兰债券风险管理的市场参与者息息相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Islamic Accounting and Business Research BUSINESS, FINANCE-

CiteScore

4.80

自引率

22.70%

发文量

期刊介绍： The journal provides a dynamic forum for the advancement of accounting and business knowledge based on Shari’ah and Islamic activities that have an impact on the welfare of society. JIABR publishes articles on the interplay between Islamic business ethics, accounting, auditing and governance, in promoting accountability, socio-economic justice (adl) and everlasting success (al-falah). It seeks to inform, among others, current theoretical and empirical research and practice in Islamic accounting, auditing and corporate governance, management of Islamic organizations, accounting regulation and policy for Islamic institutions, Shari’ah auditing and corporate governance, financial and non-financial performance measurement and disclosure in Islamic institutions and organizations. All styles of research, theoretical and empirical, case studies, practice-based papers and research notes that are well written and falling within the journal''s scope, are generally welcomed by the journal. Scope/Coverage Development of accounting, auditing and corporate governance concepts based on Shari’ah Socio-political influence on accounting and auditing regulation and policy making for Islamic financial institutions and organizations Historical perspectives on Islamic accounting, auditing and financial management Critical analysis on issues and challenges on accounting disclosure and measurement, Shari’ah audit and corporate governance Controls and risks in Islamic organizations Financial and non-financial performance measurement and disclosure.