Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis

Some investors strive for capital appreciation while others may follow capital preservation strategies in terms of investment. In relation to that, Islamic finance receives a lot of attention from institutional investors and asset managers in the search for higher returns, lower correlation and grow...

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Main Authors:	Bhuiyan, Rubaiyat Ahsan, Rahman, Maya Puspa, Saiti, Buerhan, Mat Ghani, Gairuzazmi
Format:	Article
Language:	English English English
Published:	Borsa Istanbul Anonim Sirketi 2018
Subjects:	HG Finance
Online Access:	http://irep.iium.edu.my/61640/ http://irep.iium.edu.my/61640/ http://irep.iium.edu.my/61640/ http://irep.iium.edu.my/61640/13/61640_Financial%20integration%20between%20sukuk%20_WoS.pdf http://irep.iium.edu.my/61640/20/61640_Financial%20integration%20between%20sukuk_SCOPUS.pdf http://irep.iium.edu.my/61640/25/61640_Financial%20integration%20between%20sukuk.pdf

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spelling	iium-616402018-10-15T07:22:38Z http://irep.iium.edu.my/61640/ Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis Bhuiyan, Rubaiyat Ahsan Rahman, Maya Puspa Saiti, Buerhan Mat Ghani, Gairuzazmi HG Finance Some investors strive for capital appreciation while others may follow capital preservation strategies in terms of investment. In relation to that, Islamic finance receives a lot of attention from institutional investors and asset managers in the search for higher returns, lower correlation and growth potentiality. Therefore, it would be meaningful to investigate whether sukuk can offer any advantage in terms of global diversification. In such context, we have examined the volatilities and correlations of bond indices of emerging counties such as South Korea, Singapore, China, India, Indonesia, and Malaysia with Thomson Reuters BPA Malaysia Sukuk Index by applying wavelet coherence and Multivariate GARCH analyses. The data covers the period January 2010 to December 2015. We conclude that the sukuk market offers effective portfolio diversification opportunities for fixed income investors of the mentioned sample countries. Global and regional investors can avail the benefits of portfolio diversification through investment in sukuk markets but portfolio diversification is not feasible domestically. As a practical implication to the finance industry, the outcome of this research provides a framework for investigating sukuk market integration of several emerging bond markets which serve as an important platform for conducting further research. Borsa Istanbul Anonim Sirketi 2018-09 Article PeerReviewed application/pdf en http://irep.iium.edu.my/61640/13/61640_Financial%20integration%20between%20sukuk%20_WoS.pdf application/pdf en http://irep.iium.edu.my/61640/20/61640_Financial%20integration%20between%20sukuk_SCOPUS.pdf application/pdf en http://irep.iium.edu.my/61640/25/61640_Financial%20integration%20between%20sukuk.pdf Bhuiyan, Rubaiyat Ahsan and Rahman, Maya Puspa and Saiti, Buerhan and Mat Ghani, Gairuzazmi (2018) Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis. Borsa Istanbul Review, 18 (3). pp. 218-230. ISSN 2214-8450 E-ISSN 2214-8469 https://www.sciencedirect.com/science/article/pii/S2214845017301278 10.1016/j.bir.2017.11.006
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English English English
topic	HG Finance
spellingShingle	HG Finance Bhuiyan, Rubaiyat Ahsan Rahman, Maya Puspa Saiti, Buerhan Mat Ghani, Gairuzazmi Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
description	Some investors strive for capital appreciation while others may follow capital preservation strategies in terms of investment. In relation to that, Islamic finance receives a lot of attention from institutional investors and asset managers in the search for higher returns, lower correlation and growth potentiality. Therefore, it would be meaningful to investigate whether sukuk can offer any advantage in terms of global diversification. In such context, we have examined the volatilities and correlations of bond indices of emerging counties such as South Korea, Singapore, China, India, Indonesia, and Malaysia with Thomson Reuters BPA Malaysia Sukuk Index by applying wavelet coherence and Multivariate GARCH analyses. The data covers the period January 2010 to December 2015. We conclude that the sukuk market offers effective portfolio diversification opportunities for fixed income investors of the mentioned sample countries. Global and regional investors can avail the benefits of portfolio diversification through investment in sukuk markets but portfolio diversification is not feasible domestically. As a practical implication to the finance industry, the outcome of this research provides a framework for investigating sukuk market integration of several emerging bond markets which serve as an important platform for conducting further research.
format	Article
author	Bhuiyan, Rubaiyat Ahsan Rahman, Maya Puspa Saiti, Buerhan Mat Ghani, Gairuzazmi
author_facet	Bhuiyan, Rubaiyat Ahsan Rahman, Maya Puspa Saiti, Buerhan Mat Ghani, Gairuzazmi
author_sort	Bhuiyan, Rubaiyat Ahsan
title	Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
title_short	Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
title_full	Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
title_fullStr	Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
title_full_unstemmed	Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
title_sort	financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-garch analysis
publisher	Borsa Istanbul Anonim Sirketi
publishDate	2018
url	http://irep.iium.edu.my/61640/ http://irep.iium.edu.my/61640/ http://irep.iium.edu.my/61640/ http://irep.iium.edu.my/61640/13/61640_Financial%20integration%20between%20sukuk%20_WoS.pdf http://irep.iium.edu.my/61640/20/61640_Financial%20integration%20between%20sukuk_SCOPUS.pdf http://irep.iium.edu.my/61640/25/61640_Financial%20integration%20between%20sukuk.pdf
first_indexed	2023-09-18T21:27:23Z
last_indexed	2023-09-18T21:27:23Z
_version_	1777412283035549696

Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis

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