Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia

The objective of this research is to analyse comprehensively the default risk of sukuk in Indonesia. It discusses the analysis of default probability of sukuk in Indonesia bond market, and, to find the relationship of default probability of sukuk with the systematic and unsystematic risks. To achiev...

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Main Authors:	Ardiansyah, Misnen, Qizam, Ibnu, Haron, Razali, Qoyum, Abdul
Format:	Article
Language:	English
Published:	e-Journal International Journal of Research in Commerce, Economics & Management 2013
Subjects:	HG4001 Financial management. Business finance. Corporation finance.
Online Access:	http://irep.iium.edu.my/30002/ http://irep.iium.edu.my/30002/ http://irep.iium.edu.my/30002/1/ijrcm-3-Evol-3_issue-1-art-5.pdf

id	iium-30002
recordtype	eprints
spelling	iium-300022014-10-01T04:35:49Z http://irep.iium.edu.my/30002/ Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia Ardiansyah, Misnen Qizam, Ibnu Haron, Razali Qoyum, Abdul HG4001 Financial management. Business finance. Corporation finance. The objective of this research is to analyse comprehensively the default risk of sukuk in Indonesia. It discusses the analysis of default probability of sukuk in Indonesia bond market, and, to find the relationship of default probability of sukuk with the systematic and unsystematic risks. To achieve the objective, Merton model is used to identify the default probability of Sukuk in Indonesia. In addition, to find the systematic risk and unsystematic risk which have impact on sukuk default this research will use Panel data analysis will be used as a main tool analysis. The finding shows that there are two companies issuing sukuk with very high default risk, namely, PT Berlian Laju Tanker with average default probability of 74.456% and PT Pembangkit Listrik Negara which has a default risk by 61.339%. Comparatively, other sukuk has quite low default probability which is around 20% on average. Systematic and unsystematic variables are able to explain sukuk default. Money supply and the exchange rate are two systematic variables that could explain sukuk default. In addition, the unsystematic variables show that the solvency ratio (debt to equity ratio) and the profitability ratio (Return on Assets) have significant implications on default probability of sukuk. This study provides an original insight into understanding sukuk default in Indonesia and its determinant. It also contributes to the literature on Islamic finance especially in term of sukuk default. e-Journal International Journal of Research in Commerce, Economics & Management 2013-01-01 Article PeerReviewed application/pdf en http://irep.iium.edu.my/30002/1/ijrcm-3-Evol-3_issue-1-art-5.pdf Ardiansyah, Misnen and Qizam, Ibnu and Haron, Razali and Qoyum, Abdul (2013) Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia. International Journal of Research in Commerce, Economics & Management, 3 (1). pp. 21-27. ISSN 2231-4245 http://ijrcm.org.in/
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HG4001 Financial management. Business finance. Corporation finance.
spellingShingle	HG4001 Financial management. Business finance. Corporation finance. Ardiansyah, Misnen Qizam, Ibnu Haron, Razali Qoyum, Abdul Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia
description	The objective of this research is to analyse comprehensively the default risk of sukuk in Indonesia. It discusses the analysis of default probability of sukuk in Indonesia bond market, and, to find the relationship of default probability of sukuk with the systematic and unsystematic risks. To achieve the objective, Merton model is used to identify the default probability of Sukuk in Indonesia. In addition, to find the systematic risk and unsystematic risk which have impact on sukuk default this research will use Panel data analysis will be used as a main tool analysis. The finding shows that there are two companies issuing sukuk with very high default risk, namely, PT Berlian Laju Tanker with average default probability of 74.456% and PT Pembangkit Listrik Negara which has a default risk by 61.339%. Comparatively, other sukuk has quite low default probability which is around 20% on average. Systematic and unsystematic variables are able to explain sukuk default. Money supply and the exchange rate are two systematic variables that could explain sukuk default. In addition, the unsystematic variables show that the solvency ratio (debt to equity ratio) and the profitability ratio (Return on Assets) have significant implications on default probability of sukuk. This study provides an original insight into understanding sukuk default in Indonesia and its determinant. It also contributes to the literature on Islamic finance especially in term of sukuk default.
format	Article
author	Ardiansyah, Misnen Qizam, Ibnu Haron, Razali Qoyum, Abdul
author_facet	Ardiansyah, Misnen Qizam, Ibnu Haron, Razali Qoyum, Abdul
author_sort	Ardiansyah, Misnen
title	Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia
title_short	Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia
title_full	Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia
title_fullStr	Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia
title_full_unstemmed	Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia
title_sort	predicting sukuk default probability and its relationship with systematic and unsystematic risks: case study of sukuk in indonesia
publisher	e-Journal International Journal of Research in Commerce, Economics & Management
publishDate	2013
url	http://irep.iium.edu.my/30002/ http://irep.iium.edu.my/30002/ http://irep.iium.edu.my/30002/1/ijrcm-3-Evol-3_issue-1-art-5.pdf
first_indexed	2023-09-18T20:44:02Z
last_indexed	2023-09-18T20:44:02Z
_version_	1777409555391578112

Predicting Sukuk Default Probability and Its Relationship with Systematic and Unsystematic Risks: Case Study of Sukuk in Indonesia

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