What explains corporate sukuk primary market spreads?

Aytürk, Yusuf; Asutay, Mehmet; Aksak, Ercument

doi:10.1016/j.ribaf.2017.01.002

Cited by 11 publications

(9 citation statements)

References 12 publications

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“…Referring to Ayturk, Asutay, and Aksak (2017), credit rating scales were transformed into a continuous score index evenly spanning from the highest scale (indexed as 1) to the lowest scale (indexed as 1 divided by the total number of the specific credit rating agency's scales). In PT.…”

Section: Research Methodology Population Sample and Variablesmentioning

confidence: 99%

“…the SRAT-ROI, SRAT-LEV, SRAT-IVAL, and SRAT-TBNQ interactions as the independent variables to reflect the moderating effects of ROI, LEV, IVAL, and TBNQ on the SRAT-RET relationship. The empirical models 1 and 2 appear as follows: Ayturk et al (2017). For the Indonesian sample, the sukuk ratings range from idAAA (a score index=1) to 1dD (a score index = 0.056), plus additional mixed ratings, while for the Malaysian sample, the sukuk ratings span from AAA (a score index=1) to D (a score index = 0.05), plus additional mixed ratings (see the detailed distribution in Table 2).…”

Section: Empirical Modelsmentioning

confidence: 99%

“…The specification of Ayturk et al (2017) applies to model credit/sukuk ratings. A credit/sukuk rating score index as a continuous variable is constructed by using the data available from PT.…”

Section: Frequency Distribution and Descriptive Statisticsmentioning

confidence: 99%

See 2 more Smart Citations

Do sukuk ratings non-contingently affect stock returns? Evidence from Indonesia and Malaysia

Qizam

2021

EBER

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The objective of the article is to investigate two issues. First, whether the Islamic bond (sukuk) ratings are the key determinant in affecting stock returns and, second, whether firm-characteristic variables moderate the sukuk ratings effect on stock returns. Research Design & Methods: This study applied the panel estimated generalized least squares (EGLS) regression for two samples (from Indonesia and Malaysia) spanning two years, 2015-2016, for all variables, except for the intrinsic-value variable which spanned eight years, 2009-2016. Findings: The results show that the direct and positive effect of sukuk ratings on stock returns are significantly present in Malaysia but not in Indonesia, while the positive and significant moderating effects of firm-characteristic variables -especially leverage and intrinsic value of the firm -are more pronounced in the positive sukuk rating-stock return relationship in Indonesia than in Malaysia. Implications & Recommendations:The types of firm-characteristic variables involved in determining the effect of sukuk ratings on stock returns depend on the country's characteristics. As a result, adopting sukuk ratings to determine stock returns is not constant but, instead, it is contingent -to an extent -on other variables: firm-characteristic variables. These results suggest that still many factors should be explored so as to reach a better judgment on the quality of credit, including sukuk. Contribution & Value Added: While most previous studies employed the event-study method and did not specifically consider firm-characteristic effects on analysing the relationship between sukuk ratings and stock returns, this study sought to reveal whether sukuk ratings are the key determinant in affecting prices (or stock returns), and the extent to which firm-characteristic variables moderate the relationship between sukuk ratings and stock returns. Article type:research article

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Section: Research Methodology Population Sample and Variablesmentioning

confidence: 99%

Section: Empirical Modelsmentioning

confidence: 99%

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Do sukuk ratings non-contingently affect stock returns? Evidence from Indonesia and Malaysia

Qizam

2021

EBER

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“…They found that this later is significantly correlated to the slope of the yield curve and the stock market index return. Moreover, Ayturk, Asutay, and Aksak (2017) studied factors that explain corporate sukuk primary market spread. The results confirm that the credit rating, the maturity, and the margin rate influence sukuk spread.…”

Section: Literature Reviewmentioning

confidence: 99%

Harvesting Islamic risk premium with long–short strategies: A time scale decomposition using the wavelet theory

Ahroum¹,

Achchab²

2019

Int. J Fin Econ

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The impact of the Islamic screening on the performance of stock and sukuk investments is subject of a serious debate. The aim of this paper is to contribute to the ongoing studies on Islamic markets by giving new insights about characteristics of the Islamic risk premium. To attempt this objective, we adopt a risk premia methodology using long–short strategies and a time scale decomposition to find out the scale and the intensity degree of this effect over time. Furthermore, we consider the Islamic risk premium as a market factor. Wavelet analysis results in Malaysia highlight the presence of the Islamic effect at low frequency bands and a higher intensity among the corporate debt market. However, this approach's effectiveness is conditioned to the existence of Islamic and conventional benchmarks.

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“…Since the GCC economies are highly dependent on oil, these GCC countries need to diversify their economies by looking for alternative sources of financing. The parameters indicate that in order to cope with the deficit of the budget, the countries of the GCC may select sukuk for the development of their infrastructure, which is likely to deliver added incentive to expand the Islamic stock market (Ayturk et al 2017). According to International Islamic Financial Market and Thomson Reuters reports (2015), there were expectations that oil-exporting countries (particularly those of the GCC) could be affected by low oil prices which, thereby affecting the sukuk markets to raise funding.…”

Section: Introductionmentioning

confidence: 99%

The Infuence of Macroeconomics Factors and Political Risk on the Sukuk Market Development in Selected GCC Countries: A Panel Data Analysis

2019

JEM

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In light of the countries' attempt to develop their economies and follow stable macroeconomic policies that stimulate the sukuk markets and the stress placed on the political stability of the countries, investigating the role of political risk and macroeconomic factors is crucial to sustain a country's Islamic financial development. Therefore, this study used the panel data to examine the influence of the macroeconomic factors and political risk on the sukuk market development in the selected GCC countries, namely Saudi Arabia, United Arab Emirate, Bahrain, Qatar and Kuwait from 2001 to 2016. The model of sukuk market development is extended by incorporating the six specific characteristics of GCC countries. The diagnostic tests affirm that the most preferred model to explain the determinants of sukuk market development is by using the Pooled Ordinary Least Square (POLS) Model. The findings reveal that the banking sector and exchange rates are negative and have significant effects on the sukuk market development. The consideration of the increasing level of trade openness is vital due to its major contribution to enhance the sukuk market development. Interestingly, this study finds a positive significant association between the political risk and the sukuk market development. In order to promote the sukuk market development in the region, it is important to develop strategies for integrating and linking the banking sector and the sukuk market in order to promote the sukuk market by creating a scale economy and the required financial market infrastructure.

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What explains corporate sukuk primary market spreads?

Cited by 11 publications

References 12 publications

Do sukuk ratings non-contingently affect stock returns? Evidence from Indonesia and Malaysia

Do sukuk ratings non-contingently affect stock returns? Evidence from Indonesia and Malaysia

Harvesting Islamic risk premium with long–short strategies: A time scale decomposition using the wavelet theory

The Infuence of Macroeconomics Factors and Political Risk on the Sukuk Market Development in Selected GCC Countries: A Panel Data Analysis

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