Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses
Understanding the co-movement among asset returns is a critical issue in finance, as investors can minimize risk through diversification. International investors seek alternative asset classes to diversify their portfolio. Therefore, it would be meaningful to investigate whether sukuk (Islamic bond)...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English English English |
| Published: |
Elsevier Inc.
2019
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| Online Access: | http://irep.iium.edu.my/67317/ http://irep.iium.edu.my/67317/1/67317_Does%20the%20Malaysian%20Sovereign%20sukuk.pdf http://irep.iium.edu.my/67317/2/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_SCOPUS.pdf http://irep.iium.edu.my/67317/3/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_WOS.pdf |
| _version_ | 1848786738693013504 |
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| 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 |
| building | IIUM Repository |
| collection | Online Access |
| description | Understanding the co-movement among asset returns is a critical issue in finance, as investors can minimize risk through diversification. International investors seek alternative asset classes to diversify their portfolio. Therefore, it would be meaningful to investigate whether sukuk (Islamic bond) offer any advantages in terms of global diversification. In this context, we examined the volatilities and correlations of sovereign bond indexes in developed countries, such as the US, Canada, Germany, the UK, Australia, and Japan, and the Thomson Reuters BPA Malaysia Sukuk Index, using wavelet coherence and multivariate-GARCH analyses. The data cover the period January 2010–December 2015. The results of the study significantly highlight that wavelet coherence illustrates lower co-movement between returns on developed market bond index (the US, the UK, Australia, Canada, Germany, and Japan) with returns on the Malaysian sukuk index during the sample period. Moreover, the Malaysian sukuk market has negative unconditional correlation with the US and Canadian bond markets, which is a good sign of diversification benefits. This study reveals attractive opportunities in terms of diversification benefits, with credit quality and sharia-compliant financial sector exposure for investors who want to invest in fixed-income securities. |
| first_indexed | 2025-11-14T17:13:49Z |
| format | Article |
| id | iium-67317 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English English English |
| last_indexed | 2025-11-14T17:13:49Z |
| publishDate | 2019 |
| publisher | Elsevier Inc. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-673172019-11-24T15:36:43Z http://irep.iium.edu.my/67317/ Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses Bhuiyan, Rubaiyat Ahsan Rahman, Maya Puspa Saiti, Buerhan Mat Ghani, Gairuzazmi HG3368 Islamic Banking and Finance HG4501 Stocks, investment, speculation Understanding the co-movement among asset returns is a critical issue in finance, as investors can minimize risk through diversification. International investors seek alternative asset classes to diversify their portfolio. Therefore, it would be meaningful to investigate whether sukuk (Islamic bond) offer any advantages in terms of global diversification. In this context, we examined the volatilities and correlations of sovereign bond indexes in developed countries, such as the US, Canada, Germany, the UK, Australia, and Japan, and the Thomson Reuters BPA Malaysia Sukuk Index, using wavelet coherence and multivariate-GARCH analyses. The data cover the period January 2010–December 2015. The results of the study significantly highlight that wavelet coherence illustrates lower co-movement between returns on developed market bond index (the US, the UK, Australia, Canada, Germany, and Japan) with returns on the Malaysian sukuk index during the sample period. Moreover, the Malaysian sukuk market has negative unconditional correlation with the US and Canadian bond markets, which is a good sign of diversification benefits. This study reveals attractive opportunities in terms of diversification benefits, with credit quality and sharia-compliant financial sector exposure for investors who want to invest in fixed-income securities. Elsevier Inc. 2019-01 Article PeerReviewed application/pdf en http://irep.iium.edu.my/67317/1/67317_Does%20the%20Malaysian%20Sovereign%20sukuk.pdf application/pdf en http://irep.iium.edu.my/67317/2/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_SCOPUS.pdf application/pdf en http://irep.iium.edu.my/67317/3/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_WOS.pdf Bhuiyan, Rubaiyat Ahsan and Rahman, Maya Puspa and Saiti, Buerhan and Mat Ghani, Gairuzazmi (2019) Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses. North American Journal of Economics and Finance, 47. pp. 675-687. ISSN 1062-9408 https://www.sciencedirect.com/science/article/abs/pii/S1062940818300731 10.1016/j.najef.2018.07.008 |
| spellingShingle | HG3368 Islamic Banking and Finance HG4501 Stocks, investment, speculation Bhuiyan, Rubaiyat Ahsan Rahman, Maya Puspa Saiti, Buerhan Mat Ghani, Gairuzazmi Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses |
| title | Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses |
| title_full | Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses |
| title_fullStr | Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses |
| title_full_unstemmed | Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses |
| title_short | Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses |
| title_sort | does the malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? evidence from wavelet coherence and multivariate-garch analyses |
| topic | HG3368 Islamic Banking and Finance HG4501 Stocks, investment, speculation |
| url | http://irep.iium.edu.my/67317/ http://irep.iium.edu.my/67317/ http://irep.iium.edu.my/67317/ http://irep.iium.edu.my/67317/1/67317_Does%20the%20Malaysian%20Sovereign%20sukuk.pdf http://irep.iium.edu.my/67317/2/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_SCOPUS.pdf http://irep.iium.edu.my/67317/3/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_WOS.pdf |