Mariya Gubareva , Tatiana Sokolova , Zaghum Umar , Xuan Vinh Vo
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Sukuk liquidity and creditworthiness during COVID-19
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.
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.