DETERMINANTS OF RISK AND RETURN PERFORMANCE WITH SPECIAL REFERENCE TO GCC SUKUK MARKET STRUCTURE (Published)
The research study focusing on determinants of return and risk performance in the GCC sukuk market structure is sparse. Therefore, present study attempts to identify different types of risks embedded in sukuk structure, to determine the impact of different types of risks on return of sukuk and to explore and analyze the relationship between market risk, credit risk, operational risk, liquidity risk and sukuk returns in GCC market. This research covers nine years sample period beginning from January 2005 to June 2013. The 2282 daily observations of adjusted closed values of each index has downloaded from websites of Nasdaq Dubai sukuk market. This study used various methods o analyze the data. Results of this study reveal that Nasdaq sukuk index sectorial basis in GCC found that 91% of the GCC sukuk returs were explains by GSKI, 92% of the GCC sukuk returns were explained by GSKC and 93% of the GCC corporate sukuk returns were explained by GSKF. This variance are due to maturity risk, Shari’ah compliance risk , liquidity risk, reinvestment risk , interest rate risk, credit risk, inflation risk and dollar rate risk. Thereby the objectives set in this study proved the relationship between total return and different type of risks. The implications of this study, limitations and areas for further research are also discussed.
A Delve into Performance of Sukuk (Islamic Bonds) and Conventional Bonds Issued by PLCs in Malaysia (Published)
The purpose of this study is threefold; (i) to analyze the performance of the public listed companies (PLCs) that issues sukuk (also known as Islamic bonds) as compared to conventional bonds. (ii) to validate the relationship between bond facets and firms’ performance and (iii) to evaluate the effects of independent variables in terms of size of issuance, bond’s rating, coupon rate, types of instruments and tenor of each issuance towards firm’s performance. The study used a secondary data for a total of N= 966 issuance which are gathered from Bank Negara info Bond website, and Rating Agency Malaysia (RAM) for such a bond facets. Data from Thompson Data Stream and Bloomberg are utilized to represent firm’s performance proxies (N=970) from 2002 until 2009. The preliminary result revealed by multivariate regression and independent T test was shown there is a statistically significant relationship between bond facets with firm’s performance. Most of the public listed issuer was issued sukuk as compared to conventional bonds during study periods.