A Wavelet-Based Analysis of the Co-Movement between Sukuk Bonds and Shariah Stock Indices in the GCC Region: Implications for Risk Diversification

Journal of Risk and Financial Management

SyedAle Raza Shah¹  SyedAsif Ali Naqvi¹  Samia Nasreen²  Shawkat Hammoudeh³  AviralKumar Tiwari⁴ 

[1] Department of Economics, Government College University, Faisalabad 38000, Pakistan;Department of Economics, Lahore College for Women University, Lahore 53720, Pakistan;Economics and International Business, Lebow College of Business, Drexel University, Philadelphia, PA 19104, USA;Rajagiri Valley Campus, Rajagiri Business School, Kochi 682001, India;

关键词: sukuk;    Islamic stocks;    wavelet analyses;    value at risk;   

DOI  :  10.3390/jrfm13040063

来源: DOAJ

【 摘 要 】

Investors are interested in knowing whether sukuk bonds and shariah stock indices in the Gulf Corporation Council (GCC) region are related. This study examines the connectedness between the sukuk- and shariah-compliant stock indices in the GCC financial markets. Bivariate and multivariate wavelet approaches are applied to the daily data covering the period 10 July 2008 to 15 May 2017. The empirical findings demonstrate a strong correlation between these GCC sukuk bond indices and shariah stock indices. The degree of connectedness between these sukuk and shariah stock indices varies across time and scale. A strong and positive association is observed in the short term and a negative association is evident in the long term. The same findings are observed, using the wavelet cohesion approach that also validates the existence of portfolio diversification opportunities at a short-time horizon. The multivariate cross-correlation analysis reveals that these sukuk and shariah stock markets are highly integrated across time and scale. Furthermore, the value at risk (VaR) for the sukuk bond–shariah stocks portfolio is performed to highlight the significance of the wavelet analysis. The outcomes show that portfolio stocks are variable with respect to time or scale (time diversification). Overall, analyzing the sukuk bond–shariah stock index returns in the GCC at a multiscale level makes it easier for financial agents dealing with heterogeneous trading horizons to assess the benefits of diversifications.

【 授权许可】

Unknown