Islamic bonds (sukuk) a safe haven for investors? Truth or myth?

IF 2.5 Q2 BUSINESS, FINANCE Journal of Islamic Accounting and Business Research Pub Date : 2024-08-05 DOI:10.1108/jiabr-11-2022-0299

Hussain Mohi-Ud-Din Qadri, Atta Ul Mustafa, Hassnian Ali, Atta Ul Mustafa Tahir

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Abstract

Purpose

This study aims to find whether sukuk (Islamic bonds) possess a safe haven property for investors or not.

Design/methodology/approach

To analyze this statement, the study used data from MSCI World conventional and MSCI World Islamic indices from August 17, 2012 to June 8, 2022. The study used the generalized autoregressive conditional heteroskedasticity (GARCH) variance technique, the most common technique used in stock data analysis.

Findings

The results dictate the absence of sukuk as a safe haven for investors as both the conventional and Islamic markets show decoupling behavior. The study finds concrete evidence of a strong association between the debt-based bond market and the Islamic sukuk market. As these markets mostly like to move in a parallel direction, a recession in a conventional bond market likely means a recession in the Islamic sukuk market.

Originality/value

This study is unique in incorporating the MSCI World Islamic Index and other Islamic indices of several Muslim countries, which was absent in previous research. Second, this study is unique because it adds a separate regression for the COVID era to show whether the movement of indices changed during regression.

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伊斯兰债券（sukuk）是投资者的避风港？真相还是神话？

目的本研究旨在探讨伊斯兰债券（sukuk）是否具有为投资者提供避风港的属性。研究使用了广义自回归条件异方差（GARCH）方差技术，这是股票数据分析中最常用的技术。研究结果由于传统市场和伊斯兰市场都出现了脱钩行为，因此伊斯兰债券没有成为投资者的避风港。研究发现了债务型债券市场与伊斯兰债券市场之间存在紧密联系的具体证据。由于这些市场大多喜欢朝着平行的方向发展，因此传统债券市场的衰退很可能意味着伊斯兰债券市场的衰退。原创性/价值本研究的独特之处在于纳入了 MSCI 世界伊斯兰指数和几个穆斯林国家的其他伊斯兰指数，而这在以往的研究中是没有的。其次，本研究的独特之处在于它增加了 COVID 时代的单独回归，以显示回归期间指数的走势是否发生了变化。

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.