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The Risk Analysis of Ṣukūk: An Empirical Evidence from Pakistan تحليل مخاطر الصكوك: أدلة تجريبية من باكستان

Author

Listed:
  • Ejaz Aslam

    (Assistant Professor and researcher at the School of Islamic Economics Banking & Finance, Minhaj University Pakistan)

  • Khuram Mobusher Azam

    (Credit Manager, Habib Bank Ltd., Pakistan)

  • Anam Iqbal

    (PhD scholar at IIUM Institute of Islamic Banking and Finance International Islamic University Malaysia)

Abstract

Ṣukūk is an innovative financial instrument with a flexible structure based on Sharīʿah, unlike a bond which is based on an interest-based structure. With the notion that ṣukūk contracts are significantly different from ordinary bonds, it is in high demand especially in Muslim countries to overcome liquidity problems. Ṣukūk has a key importance in the financial market, and literature is lacking on how to predict the trend and volatility of ṣukūk in the case of Pakistan, where debt instruments are high in demand. Thus, this investigation intends to inspect the volatility and trends analysis of the ṣukūk industry in Pakistan. The study sample consists of six ṣukūk issued in Pakistan, for which the daily data was collected. For this purpose, this study employed the ARCH, GARCH, EGARCH, and TGARCH models to analyze the risk behavior of the ṣukūk industry in Pakistan. Results revealed that Engro Corporation ṣukūk yield is higher and less volatile among other ṣukūk returns. The results testify that there is volatility in all corporate ṣukūk returns of different maturities. Additionally, it is found that smaller tenure ṣukūk had high volatility as compared to larger tenure ṣukūk , and that bad news and events have larger effects on volatility of the ṣukūk return than good news. The findings of this study shall be beneficial for investors, portfolio managers, and decision-making authorities to invest in the low-risk profile ṣukūk as debt instruments in Pakistan. تُعد الصكوك أداة مالية مبتكرة ذات هيكلة مرنة تعتمد على مبادئ الشريعة الإسلامية التي تربط العائد بنتيجة المشروع، على عكس السندات التي تقوم على أساس الفوائد الربوية المُحرمة. بسبب هذه التركيبة والمرونة التي تتمتع بها صيغة الصكوك تزايد الطلب عليها، خاصة في البلدان الإسلامية للتغلب على مشكلات السيولة. تتمتع الصكوك بأهمية رئيسة في السوق المالية، ولا توجد أدبيات حول كيفية التنبؤ بالاتجاه والتقلبات لهذه الأداة المالية كما هو الشأن في حالة باكستان، التي تعرف أسواق المال فيها طلبات كبيرة على أدوات الدين. يهدف هذا البحث التّجريبي إلى فحص التقلبات وتحليل الاتجاهات في صناعة الصكوك في باكستان. تتكون عينة الدراسة من ستة صكوك صادرة في باكستان. ولهذا الغرض، استخدمت الدراسة نماذج (ARCH) و (GARCH) و (EGARCH)، و (TGARCH) لتحليل سلوك الخطر لصناعة الصكوك في باكستان. كشفت النتائج أن عائد شركة إنغرو (Engro) أعلى وأقل تقلباً من عوائد صكوك الشركات الأخرى. وتشهد النتائج على أن هناك تقلبًا في جميع عوائد الشركات في الصكوك من آجال مختلفة. بالإضافة إلى ذلك، تبين أن الحيازة الأصغر حجماً للصّكوك كانت ذات تقلبات عالية مقارنة بالحيازة الأكبر، وأن الأخبار والأحداث السيئة لها آثار أكبر على تقلب عوائد الصكوك من الأخبار الجيدة. يأمل الباحثون أن تُفيد نتائج هذه الدراسة عددًا من الأطراف ذات الصلة، كالمستثمرين، ومديري المحافظ المالية، وسلطات صنع القرار؛ للاستثمار في سوق الصكوك المنخفضة المخاطر كأدوات للديون في باكستان.

Suggested Citation

  • Ejaz Aslam & Khuram Mobusher Azam & Anam Iqbal, 2021. "The Risk Analysis of Ṣukūk: An Empirical Evidence from Pakistan تحليل مخاطر الصكوك: أدلة تجريبية من باكستان," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., vol. 34(1), pages 25-43, January.
    • Handle: RePEc:abd:kauiea:v:34:y:2021:i:1:no:2:p:25-43
    DOI: 10.4197/Islec.34-1.2
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    ARCH; GARCH; Islamic finance; Ṣukūk; Volatility. التمويل الإسلامي، تقلب الصكوك.;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • P51 - Political Economy and Comparative Economic Systems - - Comparative Economic Systems - - - Comparative Analysis of Economic Systems

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