کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973015 1479852 2016 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?
ترجمه فارسی عنوان
آیا مشکل مالی جهانی و عدم قطعیت بر شورای همکاری خلیج فارس و پویایی بازگشت صکوک جهانی تاثیر می گذارد؟
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We investigate the dynamics of the GCC and global sukuk returns with various uncertainty factors.
• The GCC sukuk are not affected by the conventional bond market and gold market uncertainties.
• The GCC sukuk are more sensitive to the global uncertainty factor than the global sukuk.

We investigate the dynamics of the co-movement and causal relationship of the GCC sukuk (Islamic bond) returns with global financial distress and various uncertainty factors (including financial and commodity market and economic policy uncertainty indices), using the quantile regression analysis. The empirical results demonstrate that these global financial, economic policy and oil uncertainties have negative impacts and causality effects on the GCC sukuk returns, which is limited to the lower quantiles (bearish GCC markets). The global financial distress has a negative impact and a causality effect on GCC sukuk but only for the upper quantiles (when the sukuk returns are high). Interestingly, the GCC sukuk returns are not affected by the conventional bond market and gold market uncertainties. For comparison purpose, we examine the impacts of global financial distress and uncertainty factors on the global sukuk index, which is much wider than the GCC index, and find that this index is mainly affected by the global conventional bond market uncertainty. The results show also that the GCC sukuk are more sensitive to the global uncertainty factor, mainly in the tail distributions, than the global sukuk, offering investors different investment alternatives and portfolio diversification opportunities.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 39, September 2016, Pages 57–69
نویسندگان
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