Sukuk and bond dynamics in relation to exchange rate

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE
Syed Mabruk Billah, Thien Hai Nguyen, Md Iftekhar Hasan Chowdhury
{"title":"Sukuk and bond dynamics in relation to exchange rate","authors":"Syed Mabruk Billah, Thien Hai Nguyen, Md Iftekhar Hasan Chowdhury","doi":"10.1108/imefm-01-2022-0024","DOIUrl":null,"url":null,"abstract":"\nPurpose\nThis study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions.\n\n\nDesign/methodology/approach\nThis study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons.\n\n\nFindings\nThe results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond.\n\n\nOriginality/value\nTo the best of the authors’ knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.\n","PeriodicalId":47091,"journal":{"name":"International Journal of Islamic and Middle Eastern Finance and Management","volume":" ","pages":""},"PeriodicalIF":2.8000,"publicationDate":"2022-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Islamic and Middle Eastern Finance and Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1108/imefm-01-2022-0024","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 1

Abstract

Purpose This study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions. Design/methodology/approach This study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons. Findings The results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond. Originality/value To the best of the authors’ knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.
伊斯兰债券和债券动态与汇率的关系
目的本研究旨在通过扩展现有的关于苏库克回报率和波动性的文献,并探索苏库克汇率相互作用的含义,做出贡献。设计/方法论/方法本研究采用考虑时间和投资范围的小波方法,考察了15个国家的Sukuk与汇率的动态相互作用。研究结果揭示了苏库克回报率和波动率与基础汇率的显著演变一致性。这种关系比这项研究在他们的债券市场上看到的更为有力。对于Sukuk回报,一致性是负的,而对于波动性是正的。值得注意的是,从中长期来看,这种一致性很强,在极端经济事件期间,尤其是在新冠肺炎大流行期间,这种情况会加剧。通过比较Sukuk和传统债券的公司级匹配数据,进一步验证了这些发现。原创性/价值据作者所知,这是第一项报告15个国家Sukuk回报率和波动率与基本汇率的动态关系的研究。总之,这项研究为基于信仰的活跃伊斯兰投资者和跨境投资组合经理提供了宝贵的见解。
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
CiteScore
5.40
自引率
10.00%
发文量
45
期刊介绍: The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信