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Do Debt Markets Price Sukuk and Conventional Bonds Differently? هل تُسَعِّر أسواق الدَّيْن الصكوك والسندات التقليدية بشكل مختلف؟

Author

Listed:
  • Meysam Safari

    (University Putra Malaysia)

  • M. Ariff

    (Bond University, Australia and INCEIF University, Malaysia)

  • Shamsher M.

    (Australia and INCEIF University, Malaysia)

Abstract

A new type of debt securities called Sukuk certificates have grown to US$ 840 billion in 11 financial markets as of 2011. These Islamic debt instruments share some features similar to conventional bonds, so market operators treat both as bonds. Whether it is appropriate to treat Sukuk certificates as conventional bonds is empirically tested in this paper. If the yields of Sukuk are the same as those of conventional bonds, Granger causality tests could confirm their equivalence. Practically the tests show otherwise. Also, the yields of Sukuk instruments are significantly higher than yields of conventional bonds even after controlling issuers, rating quality and tenure in matched samples tests. Finally, Sukuk issuance affects the issuing firm’s beta risk significantly, which is consistent with capital structure theory. These new findings on the 10-year old Islamic debt market have regulatory and market making policy implications as to whether Sukuk instruments should be classed as a new class of financial instruments, and not as bonds. Future research and market practices have to reinvestigate a number of issues anew because Sukuk market is for a different class of debt. لقد نما نوع جديد من أدوات الدَّيْن - تعرف بشهادات الصكوك- إلى مستوى 840 مليار دولار في أحد عشر مركزًا ماليًا. تشترك هذه الأدوات المالية الإسلامية في عدد من الخصائص مع السندات التقليدية، ولذا فإن المتعاملين في هذه الأسواق يعاملون كلا النوعين؛ السندات والصكوك كأنها سندات دَيْنٍ تقليدية. تقوم هذه الورقة اختبار قياسي ودراسة تجريبية لهذه القناعة التي توصل لها المتعاملون. فلو كانت عوائد الصكوك مساوية لعوائد السندات التقليدية فإن اختبار سببية جرانجر (Granger) سيثبت ذلك؛ غير أن النتائج التي توصلت لها الورقة تثبت عكس ذلك. كما أثبتت الدراسة أن عوائد الصكوك أعلى بكثير من عوائد السندات حتى في ظل فرض بعض المحددات مثل مراقبة المصدرين، ونوعية التصنيف الائتماني. وأخيرًا فإن إصدار الصكوك يؤثر بشكل معتبر في قيمة بيتا (Beta) لمخاطر الإصدار، وهذا ما يتسق مع نظرية هيكلة رأس المال للشركات. إن لهذه النتائج الجديدة على أسواق الدَّيْن الإسلامية انعكاسات فيما يتعلق بكيفية التعامل مع هذا النوع من الأدوات المالية؛ حيث يجب أن تُعامل على أنها أدوات مالية جديدة وليست سندات. كما أن نتائج الدراسة لها انعكاسات وتحديات بالنسبة لنماذج التقييم الجديدة للأدوات المالية.

Suggested Citation

  • Meysam Safari & M. Ariff & Shamsher M., 2013. "Do Debt Markets Price Sukuk and Conventional Bonds Differently? هل تُسَعِّر أسواق الدَّيْن الصكوك والسندات التقليدية بشكل مختلف؟," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 26(2), pages 113-149, July.
    • Handle: RePEc:abd:kauiea:v:26:y:2013:i:2:no:4:p:113-149
    DOI: 10.4197/Islec.26-2.4
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    References listed on IDEAS

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    3. Andreas Jobst & Peter Kunzel & Paul Mills & Amadou Sy, 2008. "Islamic bond issuance: what sovereign debt managers need to know," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 1(4), pages 330-344, November.
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    Citations

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    Cited by:

    1. Meor Amri Ayob, 2014. "Need for pricing information to value sukuk securities," Chapters, in: Mervyn K. Lewis & Mohamed Ariff & Shamsher Mohamad (ed.), Risk and Regulation of Islamic Banking, chapter 10, pages 168-178, Edward Elgar Publishing.
    2. Awaludin, Fadhlee & Masih, Mansur, 2015. "Sukuk pricing dynamics - factors influencing yield curve of the Malaysian Sukuk," MPRA Paper 66355, University Library of Munich, Germany.
    3. Faruk Balli & Hassan Ghassan & Essam H. Jeefri, 2021. "Sukuk and bond spreads," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(3), pages 529-543, July.
      • Balli, Faruk & Ghassan, Hassan B. & Al-Jefri, Essam H., 2020. "Sukuk and bond spreads," MPRA Paper 106729, University Library of Munich, Germany, revised 20 Jan 2021.
    4. M. Ariff & A. Chazi & M. Safari & A. Zarei, 2017. "Significant Difference in the Yields of Sukuk Bonds versus Conventional Bonds," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(2), pages 115-135, August.
    5. Arya Sasongko & Ali Sakti, 2020. "Sovereign Green Sukuk: Environmental Risk Model Development," Working Papers WP/02/2020, Bank Indonesia.

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    More about this item

    Keywords

    Sukuk; Bond; Yield curve; Yield to maturity; Islamic finance; Islamic bond; Fixed income finance; Securitization; Yield spread.;
    All these keywords.

    JEL classification:

    • Z12 - Other Special Topics - - Cultural Economics - - - Religion
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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