Sovereign sukuk pricing analysis: do macroeconomic variables matter?

Development of the global sukuk market has been pioneered by Malaysia with the launch of the first sovereign 5-year global sukuk of US$600 million in 2002. Since then, the sovereign sukuk market has developed rapidly, with sovereign sukuk being issued by the Governments of Turkey, Qatar, United...

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Main Authors:	Rahman, Maya Puspa, Duasa, Jarita, Kassim, Salina, Zainudin, Wan Rahini Aznie
Format:	Article
Language:	English
Published:	IIUM Press, International islamic University Malaysia 2017
Subjects:	HB126.4 Islamic Economics
Online Access:	http://irep.iium.edu.my/60012/ http://irep.iium.edu.my/60012/ http://irep.iium.edu.my/60012/1/60012_Sovereign%20Sukuk%20pricing%20analysis.pdf

id	iium-60012
recordtype	eprints
spelling	iium-600122018-03-20T05:13:38Z http://irep.iium.edu.my/60012/ Sovereign sukuk pricing analysis: do macroeconomic variables matter? Rahman, Maya Puspa Duasa, Jarita Kassim, Salina Zainudin, Wan Rahini Aznie HB126.4 Islamic Economics Development of the global sukuk market has been pioneered by Malaysia with the launch of the first sovereign 5-year global sukuk of US$600 million in 2002. Since then, the sovereign sukuk market has developed rapidly, with sovereign sukuk being issued by the Governments of Turkey, Qatar, United Arab Emirates, Bahrain and Indonesia to name a few. In view that sovereign securities are not totally free from default, there is also a great deal of concern associated with them as some of the issuing countries have experienced major debt servicing problems in the past such as the Greek debt crisis. As such, it is essential to analyze whether the sovereign sukuk yields do reflect the macroeconomic fundamentals of the issuing country. Based on the analysis of five countries in Asia and the Middle East, this study employs panel data from 2006 to 2013 and shows that only the inflation rate is able to explain the movement of sovereign sukuk yields. The insignificance of other macroeconomic variables such as GDP growth and money supply indicate that tagging the economic growth of the issuing country onto the pricing of sovereign sukuk yields may not be feasible at this juncture. Hence, it is concluded that in order to develop a standalone pricing mechanism different from the one used by the conventional bond market, more efforts are needed so that the sukuk market will expand with even more market player participation to create the liquidity needed for it to develop its own pricing mechanism. IIUM Press, International islamic University Malaysia 2017 Article PeerReviewed application/pdf en http://irep.iium.edu.my/60012/1/60012_Sovereign%20Sukuk%20pricing%20analysis.pdf Rahman, Maya Puspa and Duasa, Jarita and Kassim, Salina and Zainudin, Wan Rahini Aznie (2017) Sovereign sukuk pricing analysis: do macroeconomic variables matter? International Journal of Economics, Management and Accounting, 25 (3). pp. 513-528. ISSN 2462-1420 http://journals.iium.edu.my/enmjournal/index.php/enmj/article/view/445
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HB126.4 Islamic Economics
spellingShingle	HB126.4 Islamic Economics Rahman, Maya Puspa Duasa, Jarita Kassim, Salina Zainudin, Wan Rahini Aznie Sovereign sukuk pricing analysis: do macroeconomic variables matter?
description	Development of the global sukuk market has been pioneered by Malaysia with the launch of the first sovereign 5-year global sukuk of US$600 million in 2002. Since then, the sovereign sukuk market has developed rapidly, with sovereign sukuk being issued by the Governments of Turkey, Qatar, United Arab Emirates, Bahrain and Indonesia to name a few. In view that sovereign securities are not totally free from default, there is also a great deal of concern associated with them as some of the issuing countries have experienced major debt servicing problems in the past such as the Greek debt crisis. As such, it is essential to analyze whether the sovereign sukuk yields do reflect the macroeconomic fundamentals of the issuing country. Based on the analysis of five countries in Asia and the Middle East, this study employs panel data from 2006 to 2013 and shows that only the inflation rate is able to explain the movement of sovereign sukuk yields. The insignificance of other macroeconomic variables such as GDP growth and money supply indicate that tagging the economic growth of the issuing country onto the pricing of sovereign sukuk yields may not be feasible at this juncture. Hence, it is concluded that in order to develop a standalone pricing mechanism different from the one used by the conventional bond market, more efforts are needed so that the sukuk market will expand with even more market player participation to create the liquidity needed for it to develop its own pricing mechanism.
format	Article
author	Rahman, Maya Puspa Duasa, Jarita Kassim, Salina Zainudin, Wan Rahini Aznie
author_facet	Rahman, Maya Puspa Duasa, Jarita Kassim, Salina Zainudin, Wan Rahini Aznie
author_sort	Rahman, Maya Puspa
title	Sovereign sukuk pricing analysis: do macroeconomic variables matter?
title_short	Sovereign sukuk pricing analysis: do macroeconomic variables matter?
title_full	Sovereign sukuk pricing analysis: do macroeconomic variables matter?
title_fullStr	Sovereign sukuk pricing analysis: do macroeconomic variables matter?
title_full_unstemmed	Sovereign sukuk pricing analysis: do macroeconomic variables matter?
title_sort	sovereign sukuk pricing analysis: do macroeconomic variables matter?
publisher	IIUM Press, International islamic University Malaysia
publishDate	2017
url	http://irep.iium.edu.my/60012/ http://irep.iium.edu.my/60012/ http://irep.iium.edu.my/60012/1/60012_Sovereign%20Sukuk%20pricing%20analysis.pdf
first_indexed	2023-09-18T21:25:04Z
last_indexed	2023-09-18T21:25:04Z
_version_	1777412136462450688

Sovereign sukuk pricing analysis: do macroeconomic variables matter?

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