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The Asymme The Asymmetric Ex Tric Exchange Ra Ange Rate Pass-Through T Ass-Through To Inflation In The Selected Asean Countries

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  • Nevi Danila

    (Prince Sultan University, Riyadh, Saudi Arabia)

Abstract

The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility. Our results suggest that COVID-19 does not influence bond and sukuk market volatility in most of our samples. Furthermore, market sentiment does not exist in the fixed income market. The dominance of long-term investors in the fixed-income market could be the cause, especially given the minor impact of the pandemic on market volatility. In terms of risk, sukuk is less risky than its counterpart, and no statistical difference is found in risk before and during the COVID-19 pandemic for sukuk and bonds. Finally, sukuk may be considered a safe haven instrument in the financial market coupled with bonds as diversification tools in the investors’ portfolios.

Suggested Citation

  • Nevi Danila, 2023. "The Asymme The Asymmetric Ex Tric Exchange Ra Ange Rate Pass-Through T Ass-Through To Inflation In The Selected Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 26(1), pages 125-144, March.
    • Handle: RePEc:idn:journl:v:26:y:2023:i:1e:p:125-144
    DOI: https://doi.org/10.59091/1410-8046.2048
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    References listed on IDEAS

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    More about this item

    Keywords

    Sukuk; Bonds; COVID-19; Emerging markets; GARCH; VaR;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G40 - Financial Economics - - Behavioral Finance - - - General

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