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Is the long term-profit rate of Malaysian sukuk a good predictor or short term profit rate?

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dc.contributor.authorAdesina-Uthman Ganiyat Adejoke
dc.contributor.authorTaufiq Hassan
dc.contributor.authorM. Kabir Hassan
dc.contributor.authorShamsher Mohamad Ramadili Mohd
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:46Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:05:46Z
dc.date.disclosure2016-06-10
dc.date.issued2013
dc.description.abstractDecomposition of yield curves is important for pricing of fixed income instruments, inflation management, and modeling term structure of interest rates. Therefore, this study investigates whether the long term profit rate of different classes of Sukuk (Islamic bond) is a viable predictor of future spot profit rates. Data on Malaysian Sukuk from 2001-2010 was used to estimate yield curves and forward rates. Regression findings suggest that the forward rate is a weak predictor of future spot profit rate, implying long term profit rates are not average of future spot rate s on long term Sukuk. The findings do not support the expectation hypothesis. However, comparison with securities of the same default risk, but with different maturities, reveals the presence of an-in-bulit support for term premium in the yield curves of corporate Sukuk. This finding is consistent with the Liquidity Preference Theory. We also find further support for Market Segmentation Theory as we find a humped shaped yield curve in the Sukuk market
dc.identifier.citationAdejoke, A. G., Hassan, T., Ramadili Mohd, S. M., & Hassan, M. K. (2013). Is the long term-profit rate of Malaysian sukuk a good predictor or short term profit rate? Capital Markets Review, 21, pp. 67-87.
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/1412
dc.languageEnglish
dc.language.isoeng
dc.publisherBursa Malaysia & Malaysian Finance Association
dc.rights2013. Bursa Malaysia & Malaysian Finance Association
dc.sourceCRP
dc.subjectLong profit rates
dc.subjectShort profit rate
dc.subjectProfit rate yield curve
dc.subjectSukuk (Islamic bonds)
dc.subjectSukuk investors
dc.subjectTerm structure
dc.titleIs the long term-profit rate of Malaysian sukuk a good predictor or short term profit rate?
dc.typeJournal Article
dlc.maintopicIslamic capital markets
dlc.subtopicIslamic capital markets
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicIslamic capital markets
ikr.topic.subtopicIslamic capital markets
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relation.isAuthorOfPublication.latestForDiscovery33b91dde-0170-454c-8f2b-ec4b208837b9
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