Economic Forces and the Sukuk Market

被引:31
作者
Ahmad, Nursilah [1 ]
Daud, Siti Nurazira Mohd [1 ]
Kefeli, Zurina [1 ]
机构
[1] Univ Sains Islam Malaysia, Fac Econ & Muamalat, Nilai 71800, Negeri Sembilan, Malaysia
来源
INTERNATIONAL CONGRESS ON INTERDISCIPLINARY BUSINESS AND SOCIAL SCIENCES 2012 (ICIBSOS 2012) | 2012年 / 65卷
关键词
Sukuk; VAR; Granger-causality; variance decomposition; macroeconomic variables;
D O I
10.1016/j.sbspro.2012.11.101
中图分类号
F [经济];
学科分类号
02 ;
摘要
The aim of this study is to investigate macroeconomic influences on sukuk issuance in Malaysia for the period 1996-2011 at the aggregate level. Based on vector autoregressive models (VARs), variance decomposition (VDC) and impulse response functions (IRE), the results indicate that sukuk Granger-cause GDP while GDP Granger-causes both PPI and CPI. Sukuk are also driven by their own dynamics in the short horizon. The results have important policy implications to the decision-makers. Since sukuk issuance Granger-causes GDP, policy makers should design new policies to modernize the functional aspects of Islamic capital market. A further implication for international institutional investors is that sukuk have the competitive advantage since it targets a segment of the global markets that has not been penetrated by other rivals. (C) 2012 Published by Elsevier Ltd.
引用
收藏
页码:127 / 133
页数:7
相关论文
共 8 条
[1]   Wealth effects of convertible bond and convertible preference share issues: An empirical analysis of the UK market [J].
Abhyankar, A ;
Dunning, A .
JOURNAL OF BANKING & FINANCE, 1999, 23 (07) :1043-1065
[2]  
Ameer R, 2007, ASIAN ACAD MANAG J A, V3, P93
[3]  
Beck R., 2001, 200102 CFS JW GOETH
[4]  
Cakir S., 2007, WP07237 INT MON FUND
[5]  
Eichengreen Barry., 1998, NBER Working Papers, V6408
[6]  
Godlewski C. J., 2011, BANK FINLAND BOFIT D
[7]   Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt [J].
Hilscher, Jens ;
Nosbusch, Yves .
REVIEW OF FINANCE, 2010, 14 (02) :235-262
[8]  
Min H.G., 1998, DETERMINANTS EMERGIN