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Does the Malaysian sukuk market offer any portfolio diversification opportunity for global fixed income investors? Evidence from Wavelet Coherence and Multivariate-GARCH Analyses

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dc.contributor.authorRubaiyat Ahsan Bhuiyan
dc.contributor.authorBuerhan Saiti
dc.contributor.authorGairuzazmi Bin Mat Ghani
dc.contributor.authorMaya Puspa Rahman
dc.date.accessioned2024-10-11T02:05:57Z
dc.date.available2024-10-11T02:05:57Z
dc.date.issued2019
dc.description.abstractUnderstanding the co-movement among asset returns is a critical issue in finance, as investors can minimize risk through diversification. International investors seek alternative asset classes to diversify their portfolio. Therefore, it would be meaningful to investigate whether sukuk (Islamic bond) offer any advantages in terms of global diversification. In this context, we examined the volatilities and correlations of sovereign bond indexes in developed countries, such as the US, Canada, Germany, the UK, Australia, and Japan, and the Thomson Reuters BPA Malaysia Sukuk Index, using wavelet coherence and multivariate-GARCH analyses. The data cover the period January 2010-December 2015. The results of the study significantly highlight that wavelet coherence illustrates lower co-movement between returns on developed market bond index (the US, the UK, Australia, Canada, Germany, and Japan) with returns on the Malaysian sukuk index during the sample period. Moreover, the Malaysian sukuk market has negative unconditional correlation with the US and Canadian bond markets, which is a good sign of diversification benefits. This study reveals attractive opportunities in terms of diversification benefits, with credit quality and sharia-compliant financial sector exposure for investors who want to invest in fixed-income securities.en_US
dc.identifier.citationBhuiyan, R. A., Rahman, M. P., Saiti, B., & Ghani, G. B. M. (2019). Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses. The North American Journal of Economics and Finance, 47, 675-687.en_US
dc.identifier.doihttps://doi.org/10.1016/j.najef.2018.07.008
dc.identifier.issn1062-9408
dc.identifier.urihttps://ikr.inceif.edu.my/handle/INCEIF/4111
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevier B.Ven_US
dc.rights2019. Elsevier B.V
dc.sourceSEDONA
dc.subjectBond indexesen_US
dc.subjectIslamic financeen_US
dc.subjectMultivariate-GARCHen_US
dc.subjectSukuken_US
dc.subjectWavelet coherenceen_US
dc.titleDoes the Malaysian sukuk market offer any portfolio diversification opportunity for global fixed income investors? Evidence from Wavelet Coherence and Multivariate-GARCH Analysesen_US
dc.typeJournal Articleen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
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relation.isAuthorOfPublication.latestForDiscoverybb9e5a97-25fa-41fd-a5dd-2285021191d1
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