Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.1940
Aimatul Yumna, Atikah Rukminastiti Masrifah, Dadang Muljawan, Feri Noor, Joan Marta
This study analyzes the impact of Cash Waqf Linked Sukuk (CWLS) empowerment programs on beneficiaries’ welfare, financial inclusion, social participation, and spirituality. Using questionnaires administered to the beneficiaries and non-beneficiaries of the empowerment programs in Central Lampung, South Tangerang, Trenggalek East Java, and Bima Nusa Tenggara Indonesia, the study constructs three impact indicators: the welfare index, financial inclusion index, and social and spiritual index. The data are analyzed using the difference-in-difference (DiD) method, where the three impact indices are compared between the two groups of respondents in 2021 and 2022. We find that the CWLS empowerment programs improve the welfare and financial inclusion of beneficiaries but have no discernible effect on social and spiritual participation. However, the DID analysis reveals that the overall impacts of welfare, financial inclusion, and social and spiritual participation are not statistically different between beneficiaries and non-beneficiaries in 2021 and 2022. This study provides significant implications for policymakers and nadzir to enhance the impacts of CWLS on socioeconomic development and poverty alleviation.
{"title":"THE IMPACTS OF CASH WAQF LINKED SUKUK EMPOWERMENT PROGRAMS: EMPIRICAL EVIDENCE FROM INDONESIA","authors":"Aimatul Yumna, Atikah Rukminastiti Masrifah, Dadang Muljawan, Feri Noor, Joan Marta","doi":"10.21098/jimf.v10i1.1940","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.1940","url":null,"abstract":"This study analyzes the impact of Cash Waqf Linked Sukuk (CWLS) empowerment programs on beneficiaries’ welfare, financial inclusion, social participation, and spirituality. Using questionnaires administered to the beneficiaries and non-beneficiaries of the empowerment programs in Central Lampung, South Tangerang, Trenggalek East Java, and Bima Nusa Tenggara Indonesia, the study constructs three impact indicators: the welfare index, financial inclusion index, and social and spiritual index. The data are analyzed using the difference-in-difference (DiD) method, where the three impact indices are compared between the two groups of respondents in 2021 and 2022. We find that the CWLS empowerment programs improve the welfare and financial inclusion of beneficiaries but have no discernible effect on social and spiritual participation. However, the DID analysis reveals that the overall impacts of welfare, financial inclusion, and social and spiritual participation are not statistically different between beneficiaries and non-beneficiaries in 2021 and 2022. This study provides significant implications for policymakers and nadzir to enhance the impacts of CWLS on socioeconomic development and poverty alleviation.","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140415151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.2020
Munusamy Dharani, M. K. Hassan, Danny Hermawan
Using a sample of 544 Indonesian stocks, we examine the performance of the Shariah and non-Shariah stocks from 2018-2023. Employing panel regressions to investigate the impact of the Shariah investment principles on the average stock returns, we observe a positive relationship between the Shariah firms and average stock return in the market. Consequently, the study forms the Shariah and non-Shairah portfolios and analyzes their performance using the asset pricing model. We document evidence that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio. Further, we report that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio after controlling COVID-19 and the Russia-Ukraine war. Finally, we create the Shariah risk factor and conclude that it is one factor that explains the deviation in the stock return in the Indonesian stock market. The study recommends that policymakers consider this factor to derive the cost of equity, discount rate, and cost of capital.
{"title":"SHARIAH RISK FACTOR AND STOCK RETURN IN THE INDONESIAN STOCK MARKET DURING COVID-19 AND THE RUSSIA-UKRAINE CONFLICT","authors":"Munusamy Dharani, M. K. Hassan, Danny Hermawan","doi":"10.21098/jimf.v10i1.2020","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.2020","url":null,"abstract":"Using a sample of 544 Indonesian stocks, we examine the performance of the Shariah and non-Shariah stocks from 2018-2023. Employing panel regressions to investigate the impact of the Shariah investment principles on the average stock returns, we observe a positive relationship between the Shariah firms and average stock return in the market. Consequently, the study forms the Shariah and non-Shairah portfolios and analyzes their performance using the asset pricing model. We document evidence that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio. Further, we report that the Shariah portfolio provides a higher abnormal return than the non-Shariah portfolio after controlling COVID-19 and the Russia-Ukraine war. Finally, we create the Shariah risk factor and conclude that it is one factor that explains the deviation in the stock return in the Indonesian stock market. The study recommends that policymakers consider this factor to derive the cost of equity, discount rate, and cost of capital. ","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"2007 34","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140416616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.1813
Taicir Mezghani, M. Rabbani, Yousra Trichilli, Boujelbène Abbes
The study investigates the dynamic interconnections and opportunities for hedging among cryptocurrency, commodity, and Islamic stock markets using DCC-GARCH and Spillover connectedness models. Using daily data covering the Russia-Ukraine war and COVID-19 outbreak from December 1, 2019 to April 15, 2022, we document weak and frequently negative correlation between Bitcoin and Islamic stock markets. Thus, Bitcoin could be viewed as a haven from Islamic stock market losses. The results also indicate that Bitcoin's diversification benefits are normally steady and increase considerably during turbulence. Furthermore, the net return spillovers from the Bitcoin market remain above zero during most of the study period. We also find that utilizing Bitcoin as a hedge during the COVID-19 pandemic phase leads to higher expenses. The outcomes of this investigation are expected to carry substantial ramifications for Indonesian investors and portfolio managers who adhere to Shariah law since they will enable them to comprehend the advantages of diversifying portfolios across various periods of stock holding or investment horizons.
{"title":"REVISITING THE DYNAMIC CONNECTEDNESS, SPILLOVER AND HEDGING OPPORTUNITIES AMONG CRYPTOCURRENCY, COMMODITIES, AND ISLAMIC STOCK MARKETS","authors":"Taicir Mezghani, M. Rabbani, Yousra Trichilli, Boujelbène Abbes","doi":"10.21098/jimf.v10i1.1813","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.1813","url":null,"abstract":"The study investigates the dynamic interconnections and opportunities for hedging among cryptocurrency, commodity, and Islamic stock markets using DCC-GARCH and Spillover connectedness models. Using daily data covering the Russia-Ukraine war and COVID-19 outbreak from December 1, 2019 to April 15, 2022, we document weak and frequently negative correlation between Bitcoin and Islamic stock markets. Thus, Bitcoin could be viewed as a haven from Islamic stock market losses. The results also indicate that Bitcoin's diversification benefits are normally steady and increase considerably during turbulence. Furthermore, the net return spillovers from the Bitcoin market remain above zero during most of the study period. We also find that utilizing Bitcoin as a hedge during the COVID-19 pandemic phase leads to higher expenses. The outcomes of this investigation are expected to carry substantial ramifications for Indonesian investors and portfolio managers who adhere to Shariah law since they will enable them to comprehend the advantages of diversifying portfolios across various periods of stock holding or investment horizons.","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"8 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140412471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.1973
Sasiaprita Novreska, Tika Arundina
This study empirically analyses the role of Islamic financial inclusion in overcoming poverty, income inequality, and human development problems by employing yearly panel data of 33 provinces in Indonesia from 2014 to 2022. The results show that, except Aceh and DKI Jakarta, all provinces in Indonesia have low Islamic Financial Inclusion Index (IFII). Our analysis reveals that Islamic financial inclusion exerts significant roles in poverty reduction and human development improvement, while it is insignificantly related to income inequality. During the Covid-19 pandemic, the effect on human development of financial inclusion is further strengthened. We further note that the effects of Islamic financial inclusion depends on the levels of Human Development Index (HDI), where poverty reduction and human development improvement are apparent only in provinces with high and very high HDI.
{"title":"The THE ROLE OF ISLAMIC FINANCIAL INCLUSION ON POVERTY, INCOME INEQUALITY, AND HUMAN DEVELOPMENT IN INDONESIA","authors":"Sasiaprita Novreska, Tika Arundina","doi":"10.21098/jimf.v10i1.1973","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.1973","url":null,"abstract":"This study empirically analyses the role of Islamic financial inclusion in overcoming poverty, income inequality, and human development problems by employing yearly panel data of 33 provinces in Indonesia from 2014 to 2022. The results show that, except Aceh and DKI Jakarta, all provinces in Indonesia have low Islamic Financial Inclusion Index (IFII). Our analysis reveals that Islamic financial inclusion exerts significant roles in poverty reduction and human development improvement, while it is insignificantly related to income inequality. During the Covid-19 pandemic, the effect on human development of financial inclusion is further strengthened. We further note that the effects of Islamic financial inclusion depends on the levels of Human Development Index (HDI), where poverty reduction and human development improvement are apparent only in provinces with high and very high HDI.","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"21 16","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140413223","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.2103
Perry Warjiyo
No abstract
无摘要
{"title":"ACCELERATING DIGITALIZATION IN THE SHARIA ECONOMY AND FINANCE FOR INCLUSIVE AND SUSTAINABLE GROWTH IN THE POST-PANDEMIC RECOVERY","authors":"Perry Warjiyo","doi":"10.21098/jimf.v10i1.2103","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.2103","url":null,"abstract":" \u0000No abstract \u0000 ","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"7 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140414330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.1899
Ooi Kok Loang
This study examines the roles of monetary and fiscal policies and contagion in the market stability of Indonesia, Malaysia, and the Gulf Cooperation Council countries during the pandemic and post-pandemic periods from 2020 to 2023. We find that fiscal policy measures, such as reserve requirements and the government expenditure-to-GDP ratio, stabilised the financial markets during the pandemic. As for monetary policy tools, while they had limited effectiveness during the pandemic, they regained significance in stabilizing the markets post-pandemic. We also find that the patterns of market contagion patterns tend to vary across countries, with Qatar and Bahrain showing changing levels of contagion while Saudi Arabia, UAE, Kuwait, and Oman consistently displaying moderate to high contagion, the results that are in line with the adage, "when the U.S. sneezes, the global economy has a cold". The study's implications for managers and policymakers in Muslim-majority countries include robust risk management and contingency planning due to higher market contagion in economically integrated economies. Additionally, the limited impact of conventional monetary policies during the pandemic highlights the need to explore alternative approaches to enhance market stability during economic downturns.
{"title":"STABILITY OF SHARIAH-COMPLIANT STOCKS IN INDONESIA, MALAYSIA, AND GCC: THE ROLES OF MONETARY AND FISCAL POLICIES AND CONTAGION","authors":"Ooi Kok Loang","doi":"10.21098/jimf.v10i1.1899","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.1899","url":null,"abstract":"This study examines the roles of monetary and fiscal policies and contagion in the market stability of Indonesia, Malaysia, and the Gulf Cooperation Council countries during the pandemic and post-pandemic periods from 2020 to 2023. We find that fiscal policy measures, such as reserve requirements and the government expenditure-to-GDP ratio, stabilised the financial markets during the pandemic. As for monetary policy tools, while they had limited effectiveness during the pandemic, they regained significance in stabilizing the markets post-pandemic. We also find that the patterns of market contagion patterns tend to vary across countries, with Qatar and Bahrain showing changing levels of contagion while Saudi Arabia, UAE, Kuwait, and Oman consistently displaying moderate to high contagion, the results that are in line with the adage, \"when the U.S. sneezes, the global economy has a cold\". The study's implications for managers and policymakers in Muslim-majority countries include robust risk management and contingency planning due to higher market contagion in economically integrated economies. Additionally, the limited impact of conventional monetary policies during the pandemic highlights the need to explore alternative approaches to enhance market stability during economic downturns.","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"57 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140411939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.1987
Ismail Aremu Muhammed, Ahmed M Khalid, G. Premaratne
The paper focuses on the impact of informal economy and Islamic finance development on sustainable development using a panel dataset of 15 Muslim-majority countries from 2016 to 2022. The results based on the feasible GLS and panel quantile regression methods reveal that Islamic finance development has a positive impact on sustainable development. Meanwhile, the informal economy has a negative impact on sustainable development. Assessing the components of Islamic finance development, we further note that only quantitative development/financial performance and knowledge indicators are effective in achieving sustainable development. Besides these key results, GDP per capita, trade openness, and foreign direct investment emerge to be positive factors while the natural resource rents a negative factor in sustainable development. We reason that low productivity and precarious working conditions associated with informal economy may have hindered economic, social, and environmental wellbeing. The positive contribution of the Islamic finance development especially those related to Islamic financial performance and knowledge sharing to sustainable development hints the importance of further development of the Islamic financial sector in these countries.
{"title":"INFORMAL ECONOMY, ISLAMIC FINANCE DEVELOPMENT, AND SUSTAINABLE DEVELOPMENT IN MUSLIM-MAJORITY COUNTRIES","authors":"Ismail Aremu Muhammed, Ahmed M Khalid, G. Premaratne","doi":"10.21098/jimf.v10i1.1987","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.1987","url":null,"abstract":"The paper focuses on the impact of informal economy and Islamic finance development on sustainable development using a panel dataset of 15 Muslim-majority countries from 2016 to 2022. The results based on the feasible GLS and panel quantile regression methods reveal that Islamic finance development has a positive impact on sustainable development. Meanwhile, the informal economy has a negative impact on sustainable development. Assessing the components of Islamic finance development, we further note that only quantitative development/financial performance and knowledge indicators are effective in achieving sustainable development. Besides these key results, GDP per capita, trade openness, and foreign direct investment emerge to be positive factors while the natural resource rents a negative factor in sustainable development. We reason that low productivity and precarious working conditions associated with informal economy may have hindered economic, social, and environmental wellbeing. The positive contribution of the Islamic finance development especially those related to Islamic financial performance and knowledge sharing to sustainable development hints the importance of further development of the Islamic financial sector in these countries. ","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140414989","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The empirical literature on a one-tier board system has recently focused on busy directors, defined as directors holding multiple similar positions in more than one firm simultaneously. In the same spirit, this paper investigates the impact of busy commissioners (instead of busy directors) on firms' performance for the case of Indonesia, a country adopting a two-tier board system. We find that busy commissioners do not impact accounting performance but are negatively associated with market performance. The markets tend to react negatively to the presence of busy commissioners, while actually the firms are also not advantaged financially by their presence. Interestingly, we also find that Shariah-compliant firms tend to have better accounting performance but not with market performance. Our analysis further reveals that the negative impact of busy commissioners on market performance diminishes in non-Shariah-compliant firms. Perhaps, the different characteristics of Shariah-compliant and non-Shariah-compliant companies, wherein Shariah-compliant firms tend to restrict leverage and cash level, account for the results. These findings are robust across various regressions. This research calls on policymakers to enforce the regulation regarding commissioners to reduce its detrimental impact on performance. The regulators should also collaborate with relevant agencies to educate and promote the existence of Shariah-compliant firms in Indonesia.
{"title":"BUSY COMMISSIONERS AND FIRM PERFORMANCE: DO SHARIAH-COMPLIANT FIRMS MATTER?","authors":"Rolina Rahardjoputri, Tastaftiyan Risfandy, Ayu Dwi Utami","doi":"10.21098/jimf.v10i1.1995","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.1995","url":null,"abstract":"The empirical literature on a one-tier board system has recently focused on busy directors, defined as directors holding multiple similar positions in more than one firm simultaneously. In the same spirit, this paper investigates the impact of busy commissioners (instead of busy directors) on firms' performance for the case of Indonesia, a country adopting a two-tier board system. We find that busy commissioners do not impact accounting performance but are negatively associated with market performance. The markets tend to react negatively to the presence of busy commissioners, while actually the firms are also not advantaged financially by their presence. Interestingly, we also find that Shariah-compliant firms tend to have better accounting performance but not with market performance. Our analysis further reveals that the negative impact of busy commissioners on market performance diminishes in non-Shariah-compliant firms. Perhaps, the different characteristics of Shariah-compliant and non-Shariah-compliant companies, wherein Shariah-compliant firms tend to restrict leverage and cash level, account for the results. These findings are robust across various regressions. This research calls on policymakers to enforce the regulation regarding commissioners to reduce its detrimental impact on performance. The regulators should also collaborate with relevant agencies to educate and promote the existence of Shariah-compliant firms in Indonesia.","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"15 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140411866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-29DOI: 10.21098/jimf.v10i1.1928
Umar Habibu Umar, Muhamad Abduh, Mohd Hairul Azrin Besar
The study investigates the relationship between corporate attributes and the probability of bankruptcy of halal food and beverage companies in five countries: Indonesia, Malaysia, Pakistan, Saudi Arabia and the United Arab Emirates (UAE). Using a sample of 56 firms from 2008 to 2021, we find the working capital period (cash conversion cycle), leverage and firm growth to increase the probability of these companies becoming bankrupt. In contrast, liquidity, profitability and firm size reduce the likelihood of these firms being declared bankrupt. The findings reveal essential firm attributes that should be helpful to the management of halal food and beverage firms, relevant regulators and potential investors toward ensuring the firms’ sustainable operations.
{"title":"CORPORATE ATTRIBUTES AND BANKRUPTCY PREDICTION: THE CASE OF LISTED HALAL FOOD AND BEVERAGE COMPANIES","authors":"Umar Habibu Umar, Muhamad Abduh, Mohd Hairul Azrin Besar","doi":"10.21098/jimf.v10i1.1928","DOIUrl":"https://doi.org/10.21098/jimf.v10i1.1928","url":null,"abstract":"The study investigates the relationship between corporate attributes and the probability of bankruptcy of halal food and beverage companies in five countries: Indonesia, Malaysia, Pakistan, Saudi Arabia and the United Arab Emirates (UAE). Using a sample of 56 firms from 2008 to 2021, we find the working capital period (cash conversion cycle), leverage and firm growth to increase the probability of these companies becoming bankrupt. In contrast, liquidity, profitability and firm size reduce the likelihood of these firms being declared bankrupt. The findings reveal essential firm attributes that should be helpful to the management of halal food and beverage firms, relevant regulators and potential investors toward ensuring the firms’ sustainable operations. ","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"53 4","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140411673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns. This simpler model aims to overcome the widely-known drawback of the complex GARCH models that a long daily return period is required to ensure the model’s convergence. The data are Islamic exchange-traded funds: SP Funds Dow Jones Global Sukuk ETF, Wahed FTSE USA Shariah ETF, and iShares MSCI EM Islamic UCITS ETF. Sukuk act as a diversifier over the turmoil period since they are positively correlated with Islamic equity and their volatility is less than that of Islamic equity. This work also implements widely-used methods such as Dynamic Equicorrelation-GARCH, GO-GARCH, asymmetric DCC-GARCH, naïve approach, and linear regression. Two forms of data splitting and a rolling-window analysis are carried out to reduce data mining bias. All models generate one-step ahead forecasts of hedge ratios. Applying wavelet-transformed returns and utility analysis incorporating third and fourth moments, the proposed models produce better performance than the competing models. The results remain the same irrespective of different hedging instruments (precious metals) and asset classes.
{"title":"OPTIMAL HEDGE RATIO OF SUKUK AND ISLAMIC EQUITY: A NOVEL APPROACH","authors":"Bayu Adi Nugroho, Dewi Fiscalina Kusumawardhani","doi":"10.21098/jimf.v9i4.1909","DOIUrl":"https://doi.org/10.21098/jimf.v9i4.1909","url":null,"abstract":"This research applies a novel model to compute a hedge ratio. Specifically, the model modifies volatility forecasts of an exponentially weighted moving average method to account for the fat-tailed distribution of returns. This simpler model aims to overcome the widely-known drawback of the complex GARCH models that a long daily return period is required to ensure the model’s convergence. The data are Islamic exchange-traded funds: SP Funds Dow Jones Global Sukuk ETF, Wahed FTSE USA Shariah ETF, and iShares MSCI EM Islamic UCITS ETF. Sukuk act as a diversifier over the turmoil period since they are positively correlated with Islamic equity and their volatility is less than that of Islamic equity. This work also implements widely-used methods such as Dynamic Equicorrelation-GARCH, GO-GARCH, asymmetric DCC-GARCH, naïve approach, and linear regression. Two forms of data splitting and a rolling-window analysis are carried out to reduce data mining bias. All models generate one-step ahead forecasts of hedge ratios. Applying wavelet-transformed returns and utility analysis incorporating third and fourth moments, the proposed models produce better performance than the competing models. The results remain the same irrespective of different hedging instruments (precious metals) and asset classes.","PeriodicalId":31622,"journal":{"name":"Journal of Islamic Monetary Economics and Finance","volume":"118 20","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138608151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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