Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses

QR Code

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)...

Full description

Bibliographic Details
Main Authors:	Bhuiyan, Rubaiyat Ahsan, Rahman, Maya Puspa, Saiti, Buerhan, Mat Ghani, Gairuzazmi
Format:	Article
Language:	English English English
Published:	Elsevier Inc. 2019
Subjects:	HG3368 Islamic Banking and Finance HG4501 Stocks, investment, speculation
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

Similar Items

Does the global Sukuk market offer any portfolio diversification opportunity for Indonesian investors?
by: Bhuiyan, Rubaiyat Ahsan, et al.
Published: (2016)

Financial integration between sukuk and bond indices of emerging markets:insights from wavelet coherence and multivariate-GARCH analysis
by: Bhuiyan, Rubaiyat Ahsan, et al.
Published: (2018)

Does Islamic equity investment provide diversification benefits to conventional investors? Evidence from the multivariate GARCH analysis
by: Saiti, Buerhan, et al.
Published: (2018)

Dynamic relations between sukuk and conventional bond markets: an analysis of international portfolio diversification
by: Bhuiyan, Rubaiyat Ahsan, et al.
Published: (2016)

Diversification in conventional and Islamic stock indices: evidence from Multivariate-GARCH analysis
by: Saiti, Buerhan, et al.
Published: (2017)

Financial integration between sukuk and bond indices of emerging markets: Insights from wavelet coherence and multivariate-GARCH analysis
by: Bhuiyan, Rubaiyat, et al.
Published: (2018)

Understanding investors' behavior from the variation of sukuk spreads
by: Abdul Rahman, Maya Puspa, et al.
Published: (2014)

Co-movement dynamics between global sukuk and bond markets: new insights from a wavelet analysis
by: Bhuiyan, Rubaiyat Ahsan, et al.
Published: (2019)

Diversification benefits in energy, metal and agricultural commodities for Islamic investors: evidence from dynamic conditional correlations
by: Dahiru, Abdulnasir, et al.
Published: (2017)

The diversification benefits from Islamic investment during the financial turmoil: the case for the US-based equity investors
by: Saiti, Buerhan, et al.
Published: (2014)

The interactions between gold and shariah compliant equities:the application of wavelet and multivariate GARCH analysis
by: Shakil, Mohammad Hassan, et al.
Published: (2017)

Final research report RAGS (RAGS15-061-0124) identifying the macroeconomic factors influencing the pricing methods of sovereign sukuk
by: Rahman, Maya Puspa
Published: (2018)

Factors influencing the excess returns of Sukuk: an empirical analysis on USD denominated Sukuk issued by corporations in the Gulf Cooperation Council Countries (GCC)
by: Rahman, Maya Puspa, et al.
Published: (2015)

The diversification benefits within Islamic investments: evidence from MGARCH-DCC approach
by: Saiti, Buerhan, et al.
Published: (2016)

An application of GARCH modeling on the Malaysian sukuk spreads
by: Rahman, Maya Puspa, et al.
Published: (2013)

The influence of macroeconomic variables on sovereign sukuk yields: a panel data approach on selected Muslim countries
by: Rahman, Maya Puspa
Published: (2016)

Understanding investor behavior from the variation of sukuk spreads
by: Rahman, Maya Puspa, et al.
Published: (2014)

Cointegration of Islamic stock indices: evidence from five ASEAN countries
by: Saiti, Buerhan
Published: (2015)

BBFD4103 Financial derivatives
by: Saiti, Buerhan
Published: (2016)

The lead-lag relationship among East Asian economies: a wavelet analysis
by: Saiti, Buerhan
Published: (2016)

The lead-lag relationship among East Asian economies: a wavelet analysis
by: Saiti, Buerhan
Published: (2017)

Fundamentals, universe creation and appraisal of major shari’ah- compliant stocks screening methodologies
by: Saiti, Buerhan, et al.
Published: (2017)

An analysis of financial speculation: from the Maqasid Al-Shari'ah perspective
by: Rafikov, Ildus, et al.
Published: (2017)

The co-movement of selective conventional and Islamic stock indices: is there any impact on shariah compliant equity investment in China?
by: Saiti, Buerhan, et al.
Published: (2016)

Correlation and portfolio diversification among South East Asia, emerging and developed countries
by: Haron, Razali, et al.
Published: (2008)

Examination of the AAOIFI pronouncement on Sukuk Issuance and its implication on the Future Sukuk structure in the islamic capital market in Malaysia.
by: Mohammed Idris, Umar, et al.
Published: (2011)

Estimating volatility of stock index returns by using symmetric Garch models
by: Islam, Mohd Aminul
Published: (2013)

A wavelet-based approach to testing shari’ah-compliant stock market contagion:evidence from the ASEAN countries
by: Saiti, Buerhan, et al.
Published: (2013)

Innovation in Sukuk market: the case of Abu Dhabi perpetual Sukuk
by: Hasan, Aznan, et al.
Published: (2013)

The impact of crude oil price on Islamic stock indices of South East Asian countries: evidence from MGARCH-DCC and wavelet approaches
by: Abdullah, Ahmad Monir, et al.
Published: (2016)

Testing the conventional and Islamic financial market contagion: evidence from wavelet analysis
by: Saiti, Buerhan, et al.
Published: (2016)

Correlation and benefits of portfolio diversification among equity markets of developed countries and emerging countries in South East Asia region
by: Haron, Razali, et al.
Published: (2006)

Shari’ah principles of sukuk structure in Malaysia Islamic capital market
by: Kamaluddin, Norlela, et al.
Published: (2012)

Modeling volatility using GARCH (1, 1) Model: The case of Kuala Lumpur Composite Index (KLCI)
by: Islam, Mohd Aminul
Published: (2013)

Modeling univariate volatility of stock returns using stochastic GARCH models:Evidence from 4-Asian markets
by: Islam, Mohd Aminul
Published: (2013)

Modelling the conditional variance and asymmetric response to past shocks in the Malaysian bond market
by: Rahman, Maya Puspa, et al.
Published: (2015)

Investors’ confidence in the Malaysian stock market and religiosity during investment decisions
by: Jaiyeoba, Haruna Babatunde, et al.
Published: (2019)

A qualitative inquiry into the investment decision behaviour of the Malaysian stock market investors
by: Jaiyeoba, Haruna Babatunde, et al.
Published: (2016)

Investment decision behaviour of the Malaysian retail investors and fund managers: A qualitative inquiry
by: Jaiyeoba, Haruna Babatunde, et al.
Published: (2017)

Oil price and exchange rates: a wavelet analysis for OPEC members
by: Alatrturi, Basheer H. M., et al.
Published: (2016)