How COVID‐19 pandemic, global risk factors, and oil prices affect Islamic bonds (Sukuk) prices? New insights from time‐frequency analysis

IF 1.2 Q3 BUSINESS, FINANCE

Review of Financial Economics Pub Date : 2022-07-01 DOI:10.1002/rfe.1158

Nader Naifar, A. Tiwari, Mohammed G. Alhashim

{"title":"How COVID‐19 pandemic, global risk factors, and oil prices affect Islamic bonds (Sukuk) prices? New insights from time‐frequency analysis","authors":"Nader Naifar, A. Tiwari, Mohammed G. Alhashim","doi":"10.1002/rfe.1158","DOIUrl":null,"url":null,"abstract":"Abstract This paper studies the time–frequency co‐movement among Islamic bond (Sukuk) prices, the recent spread of COVID‐19, oil prices, economic policy uncertainty, global financial uncertainty, and global financial distress. The Dow Jones Sukuk Index (hereafter DJSI) is used as a proxy of the global Sukuk market. The Malaysian Sovereign Sukuk index is also used for comparison purposes because Malaysia maintains a leading position as the strongest global player in Islamic finance. The effect of global risk and uncertainty factors on Sukuk prices is controlled for using partial wavelet coherency. The empirical results indicate that the co‐movements between the Sukuk prices (both global and Malaysian Sukuk) and global economic and financial risk factors are time and frequency varying. We also find that global and Malaysian Sukuk markets behave differently with global risk factors throughout the COVID‐19 pandemic period. Furthermore, we find that the co‐movement between Sukuk prices (both global and Malaysian Sukuk) and COVID‐19‐infected cases is stronger only in the short term.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":null,"pages":null},"PeriodicalIF":1.2000,"publicationDate":"2022-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1002/rfe.1158","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 2

Abstract

Abstract This paper studies the time–frequency co‐movement among Islamic bond (Sukuk) prices, the recent spread of COVID‐19, oil prices, economic policy uncertainty, global financial uncertainty, and global financial distress. The Dow Jones Sukuk Index (hereafter DJSI) is used as a proxy of the global Sukuk market. The Malaysian Sovereign Sukuk index is also used for comparison purposes because Malaysia maintains a leading position as the strongest global player in Islamic finance. The effect of global risk and uncertainty factors on Sukuk prices is controlled for using partial wavelet coherency. The empirical results indicate that the co‐movements between the Sukuk prices (both global and Malaysian Sukuk) and global economic and financial risk factors are time and frequency varying. We also find that global and Malaysian Sukuk markets behave differently with global risk factors throughout the COVID‐19 pandemic period. Furthermore, we find that the co‐movement between Sukuk prices (both global and Malaysian Sukuk) and COVID‐19‐infected cases is stronger only in the short term.

查看原文本刊更多论文

2019冠状病毒病疫情、全球风险因素和油价如何影响伊斯兰债券（Sukuk）价格？时频分析的新见解

摘要:本文研究了伊斯兰债券(Sukuk)价格、近期新冠肺炎疫情蔓延、油价、经济政策不确定性、全球金融不确定性和全球金融困境之间的时频共动。道琼斯伊斯兰债券指数(以下简称DJSI)被用作全球伊斯兰债券市场的代理。马来西亚主权伊斯兰债券指数也被用于比较，因为马来西亚在伊斯兰金融领域保持着全球最强大的领先地位。利用局部小波相干性控制全球风险和不确定性因素对伊斯兰债券价格的影响。实证结果表明，伊斯兰债券价格(包括全球和马来西亚伊斯兰债券)与全球经济和金融风险因素之间的共同变动具有时间和频率变化。我们还发现，在整个COVID - 19大流行期间，全球和马来西亚伊斯兰债券市场的表现与全球风险因素不同。此外，我们发现伊斯兰债券价格(包括全球和马来西亚伊斯兰债券)与COVID - 19感染病例之间的共同运动仅在短期内更为强烈。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Review of Financial Economics BUSINESS, FINANCE-

CiteScore

2.80

自引率

0.00%

发文量

期刊介绍： The scope of the Review of Financial Economics (RFE) is broad. The RFE publishes original research in finance (e.g. corporate finance, investments, financial institutions and international finance) and economics (e.g. monetary theory, fiscal policy, and international economics). It specifically encourages submissions that apply economic principles to financial decision making. For example, while RFE will publish papers which study the behavior of security prices and those which provide analyses of monetary and fiscal policies, it will offer a special forum for articles which examine the impact of macroeconomic factors on the behavior of security prices.