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Year 2012, Volume: 1 Issue: 1, 101 - 125, 01.06.2012

Abstract

References

  • Ariff M., Cheng, F. F., & Neoh, V. H. (2009). Bond markets in Malaysia and Singapore. Malaysia: Pernebit Universiti Putra.
  • Bodie Z., Ariff, M., & Rosa, R. d. S. (2007). Investments (1 ed.): McGraw Hill.
  • Cox J. C., Ingersoll J. E., Jr. & Ross S. A. (1985). “A Theory of the Term Structure of Interest Rates”. Econometrica, 53(2), 385-407.
  • Enders W. (1995). Applied Econometrics Time Series. New York: John. Wiley & Sons.
  • Granger C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
  • Hossain A. (2005). “Granger-Causality Between Inflation, Money Growth, Currency Devaluation and Economic Growth in Indonesia”, 1951-2002. International Jour- nal of Applied Econometrics and Quantitative Studies, 2(3), 23.
  • Jobst A. A., Kunzel, P., Mills, P., & Sy, A. (2008). “Islamic bond issuance: what sovereign debt managers need to know”. International Journal of Islamic and Middle Eastern Finance and Management, 1(4), 330 - 344.
  • Rohmatunnisa, D. (2008). Design of Ijarah Sukuk. Unpublished MA in Finance and In- vestment, University of Nottingham, Nottingham, UK.
  • Sole J. (2008). “Prospects and challenges for developing corporate sukuk and bond mar- kets: Lessons from a Kuwait case study”. International Journal of Islamic and Mid- dle Eastern Finance and Management, 1(1), 20 - 30.
  • Tariq A. A. (2004). Managing Financial Risks of Sukuk Structures. Unpublished Disserta- tion, Loughborough University, Leicestershire, UK.
  • Tariq A. A., & Dar, H. (2007). “Risks of Sukuk structures: Implications for resource mo- bilization”. Thunderbird International Business Review, 49(2), 203-223.
  • Williams J. B. (1938). The Theory of Investment Value. Cambridge, MA: Harvard Univer- sity Press.
  • Wilson R. (2008). “Innovation in the structuring of Islamic sukuk securities”. Humanom- ics, 24(3), 170 - 181.

Are Sukuk Securities the Same as Conventional Bonds?

Year 2012, Volume: 1 Issue: 1, 101 - 125, 01.06.2012

Abstract

Sukuk securities have some similar features with conventional bonds, which is probably the reason why the financial press describe them as if they are the same. Mass media names sukuk as Islamic bonds. This paper investigates this matter empirically by first examining if the yield to maturities of sukuk securities and conventional bonds of same quality rating gives same returns to investors. We also conduct a test to see if there is a causal relationship between the two. Results show a significant difference in yield of sukuk against yield of conventional bonds. Moreover, results of Granger causality test do not show causal relation between yields of these two types of securities. Some differences between yield curves of Islamic Securities and conventional bonds of different types of issuers are identified. Finally, the effect of issuance of ijarah sukuk on issuing firm’s beta is studied. The results shows that the absolute change in beta of the firm is significant, which needs careful interpretation so possibly providing a clue to the difference in yield of two securities

References

  • Ariff M., Cheng, F. F., & Neoh, V. H. (2009). Bond markets in Malaysia and Singapore. Malaysia: Pernebit Universiti Putra.
  • Bodie Z., Ariff, M., & Rosa, R. d. S. (2007). Investments (1 ed.): McGraw Hill.
  • Cox J. C., Ingersoll J. E., Jr. & Ross S. A. (1985). “A Theory of the Term Structure of Interest Rates”. Econometrica, 53(2), 385-407.
  • Enders W. (1995). Applied Econometrics Time Series. New York: John. Wiley & Sons.
  • Granger C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438.
  • Hossain A. (2005). “Granger-Causality Between Inflation, Money Growth, Currency Devaluation and Economic Growth in Indonesia”, 1951-2002. International Jour- nal of Applied Econometrics and Quantitative Studies, 2(3), 23.
  • Jobst A. A., Kunzel, P., Mills, P., & Sy, A. (2008). “Islamic bond issuance: what sovereign debt managers need to know”. International Journal of Islamic and Middle Eastern Finance and Management, 1(4), 330 - 344.
  • Rohmatunnisa, D. (2008). Design of Ijarah Sukuk. Unpublished MA in Finance and In- vestment, University of Nottingham, Nottingham, UK.
  • Sole J. (2008). “Prospects and challenges for developing corporate sukuk and bond mar- kets: Lessons from a Kuwait case study”. International Journal of Islamic and Mid- dle Eastern Finance and Management, 1(1), 20 - 30.
  • Tariq A. A. (2004). Managing Financial Risks of Sukuk Structures. Unpublished Disserta- tion, Loughborough University, Leicestershire, UK.
  • Tariq A. A., & Dar, H. (2007). “Risks of Sukuk structures: Implications for resource mo- bilization”. Thunderbird International Business Review, 49(2), 203-223.
  • Williams J. B. (1938). The Theory of Investment Value. Cambridge, MA: Harvard Univer- sity Press.
  • Wilson R. (2008). “Innovation in the structuring of Islamic sukuk securities”. Humanom- ics, 24(3), 170 - 181.
There are 13 citations in total.

Details

Other ID JA93GC86EJ
Journal Section Research Article
Authors

Mohamed Ariff This is me

Meysam Safari This is me

Publication Date June 1, 2012
Published in Issue Year 2012 Volume: 1 Issue: 1

Cite

APA Ariff, M., & Safari, M. (2012). Are Sukuk Securities the Same as Conventional Bonds?. Afro Eurasian Studies, 1(1), 101-125.

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