The Impact of Sovereign Credit Risk and Global Financial Conditions on Sukuk Returns under Regime Switching: Evidence from Saudi Arabia

被引：0

作者：

Naifar, Nader ^{[1
]}

机构：

[1] Imam Mohammad Ibn Saud Islamic Univ IMSIU, Coll Econ & Adm Sci, Dept Finance & Investment, POB 5701, Riyadh, Saudi Arabia

来源：

VISION 2025: EDUCATION EXCELLENCE AND MANAGEMENT OF INNOVATIONS THROUGH SUSTAINABLE ECONOMIC COMPETITIVE ADVANTAGE | 2019年

关键词：

Sukuk; Islamic Finance; Sovereign Credit Risk; DEPENDENCE; MARKETS;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the impact of sovereign credit risk and global financial conditions on the dynamics of Sukuk spreads in the case of Saudi Arabia using Markov switching regression model. We consider sovereign credit default swap (CDS) premiums as a proxy for default risk and the Bloomberg Financial Conditions Index (BFCI) for the U.S. as a proxy for global financial conditions. The empirical results demonstrate that both sovereign credit risk and global financial conditions impact sukuk returns in the low and high volatility regimes.

引用

页码：12683 / 12692

页数：10

共 12 条

[11] Dependence structure between sukuk (Islamic bonds) and stock market conditions: An empirical analysis with Archimedean copulas [J].

Naifar, Nader ;

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Al Dohaiman, Mohamed S. .

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2016, 44 :148-165

[12] Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets [J].

Sclip, Alex ;

Dreassi, Alberto ;

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Paltrinieri, Andrea .

REVIEW OF FINANCIAL ECONOMICS, 2016, 31 :34-44

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