ARE SOVEREIGN BONDS MORE RISKY THAN SOVEREIGN SUKUK? EVIDENCE FROM MALAYSIAN MARKET.

  • Institut Superieur de Finance et Fiscalit? Sousse, Rue 18 janvier Sousse, Tunisia.
  • Institut des Hautes Etudes Commerciales de Carthage, Tunisia.
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The main objective of this paper is to compare sovereign Sukuk performance to classic sovereign bonds issued by the Malaysian government. This comparison focuses on the excess returns variations in reaction to factors as defined by Fama and Frensh (1993). Firstly, sukuks are more sensitive to each of the different factors of the model. Secondly, concerning size effect, small issuances outperform big ones; the opposite is available for bonds. Thirdly, a positive value effect relative to the factor HML is evidenced for Sukuk. However, we highlighted similarities regarding the reaction of both instruments to interest rates and market risk variations.

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[Rouetbi Emna and Chalghoum Ali. (2017); ARE SOVEREIGN BONDS MORE RISKY THAN SOVEREIGN SUKUK? EVIDENCE FROM MALAYSIAN MARKET. Int. J. of Adv. Res. 5 (Jan). 1503-1513] (ISSN 2320-5407). www.journalijar.com

Rouetbi Emna
Institut supérieur de finance et fiscalité Sousse, Rue 18 janvier Sousse, Tunisia

DOI:

Article DOI: 10.21474/IJAR01/2913      
DOI URL: https://dx.doi.org/10.21474/IJAR01/2913

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