The Islamic capital market's sukuk market has expanded and
changed dramatically. The value of sukuk assets was negatively impacted by the
worsening economic situations of several nations during the global financial
crisis of 2008, particularly Malaysia, the country with the largest sukuk
market in the world. Following the 2008 financial crisis, there was a 33
percent drop in worldwide sukuk issuance overall, which complicated matters for
sukuk investors (who viewed sukuk as a dangerous investment) and led to an
increase in sukuk defaults. Additionally, the extreme volatility affects
long-term effectiveness. All sukuk indexes receive daily data from the Dow
Jones Sukuk 1-3 Year Total Return Index (DJSUK3TR) and Dow Jones Sukuk 7-10
Year Total Return Index (DJSUK7TR) (DJSUK10TR). This study examines the several
types of sukuk market efficiency before, during, and after the 2008 global
financial crisis using the GARCH-in-Mean (GARCH-M) model. The analyses make use
of the Random Walk model and the Efficient Markets Hypothesis (EMH). According
to the findings, the long-term sukuk index (DJSUK10TR) offers the most accurate
market performance analysis. The sukuk market is viewed as being inefficient
overall. In conclusion, the findings will give issuers, policymakers,
regulatory authorities, and investors confidence to invest in and issue sukuk
and will provide useful information and advice. The empirical contributions in
this study show how important sukuk is in motivating investors to invest in
sukuk to increase investment and economic growth.
Author(s) Details:
Syazwani Abd Rahim,
Academy of Contemporary Islamic Studies (ACIS), Universiti Teknologi
MARA Cawangan Johor, Kampus Segamat, KM.12, Jalan Muar, 85000 Segamat, Johor,
Malaysia.
Please see the link here: https://stm.bookpi.org/CABEF-V2/article/view/7642
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