Sukuk liquidity and creditworthiness during COVID-19

IF 2.9 3区经济学 Q1 ECONOMICS

Quarterly Review of Economics and Finance Pub Date : 2024-01-10 DOI:10.1016/j.qref.2024.01.001

Mariya Gubareva , Tatiana Sokolova , Zaghum Umar , Xuan Vinh Vo

引用次数: 0

Abstract

This paper presents the empirical liquidity study of Islamic fixed-income securities during 2020–2021. Using bid-ask and Z-spread metrics we demonstrate that the apogee of both, liquidity and credit stresses in international sukuk market is reached in early April 2020. Contrasting results for non-Islamic fixed-income instruments, we show that sukuk credit spreads recover to pre-Covid levels faster than their bid-ask spreads. However, we find that the share of liquidity component in the yield spread of sukuks always remains below 1%, revealing that Covid-19 does not worsen in relative terms the economic attractiveness of this financing channel for Shariah-concerned entities and investors.

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COVID-19 期间伊斯兰债券的流动性和信用度

本文介绍了 2020-2021 年期间伊斯兰固定收入证券流动性的实证研究。利用买入价和 Z 价差指标，我们证明国际伊斯兰债券市场的流动性和信贷压力在 2020 年 4 月初达到顶峰。与非伊斯兰固定收益工具的结果相反，我们发现伊斯兰债券信用利差恢复到科维德事件前水平的速度快于其买卖价差。然而，我们发现，流动性部分在伊斯兰债券收益率利差中所占的份额始终低于 1%，这表明，相对而言，Covid-19 并没有削弱这一融资渠道对伊斯兰教法关注实体和投资者的经济吸引力。

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

Quarterly Review of Economics and Finance ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

118

期刊介绍： The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.