Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors

Billah, Mabruk; El-Sayed, Ahmed F.; Hadhri, Sinda

doi:10.1016/j.intfin.2022.101728

Cited by 25 publications

(4 citation statements)

References 73 publications

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“… Antonakakis et al, 2020 , Antonakakis and Gabauer, 2017 , Ayed et al, 2022 , Balcilar et al, 2022 , Balli et al, 2022 , Billah et al, 2023 , Bouri et al, 2021c , Economist Intelligence et al, 2022 , Financial Markets, , Gabauer and Gupta, 2018 , Gnazzo, 2022 , Group of Twenty-G 20, 2012 , Hammoudeh et al, 2010 , Korobilis and Yilmaz, 2018 , Meier et al, 2022 , Rizwan et al, 2020 , Rueters, 2022 , Russia's, 2022a , Why Russia-Ukraine crisis hit India’s share market, , Wiseman and Mchugh, 2022 , Zhang et al, 2022 , Zhu et al, 2020 …”

Section: Uncited Referencesmentioning

confidence: 99%

Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war

Kumar

Jain

Narain

et al. 2023

International Review of Economics & Finance

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Section: Uncited Referencesmentioning

confidence: 99%

Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war

Kumar

Jain

Narain

et al. 2023

International Review of Economics & Finance

Self Cite

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“…Numerous nations, including China, Hong Kong, Singapore, the UK, France, Germany, South Africa and Japan, have recently facilitated the integration of Sukuk into their markets (IIFM, 2023). The literature confirms the increasing degree of financial integration in these markets (Balli et al, 2022;Billah et al, 2022;Billah et al, 2023b;Rabbani et al, 2023). A significant driving force behind this shift is the unwavering commitment to ethical values and various socioeconomic benefits to society (Pirgaip et al, 2021).…”

Section: Introductionmentioning

confidence: 69%

“…In that vein, adding green Sukuk to a portfolio of non-Islamic assets can create additional value through diversification (Akhtar et al, 2023), especially in times of crisis. Recent studies on the portfolio implications of Sukuk and green bonds during the COVID-19 period suggest that both assets offer strong diversification benefits in mitigating economic shocks (Naeem et al, 2022;Naeem et al, 2023;Billah et al, 2023b;Billah et al, 2024). [3] Diversification value of Sukuk is higher, likely due to their unique characteristics (Billah et al, 2023a).…”

Section: Introductionmentioning

confidence: 99%

Exploring the greenium in the green Sukuk universe: evidence from the primary market

Pirgaip,

Arslan-Ayaydin

2024

IMEFM

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Purpose This study aims to fill a gap in the literature by providing evidence for a “greenium” in the primary Sukuk market. The term “greenium” is defined in the study as the lower cost of capital or reduced yields that green Sukuk may offer compared to non-green Sukuk, reflecting investor willingness to accept lower returns for green investments. Therefore, the main aim of this study is to investigate the potential role of “greenium” as an incentive for issuers to fund eco-friendly projects, contributing to a sustainable environment. Design/methodology/approach This study uses propensity score matching techniques to provide an accurate comparison of pricing differences between green and non-green Sukuk issued in global primary markets during the period 2017–2022. Findings The results reveal that green Sukuk signify a “greenium” effect. This suggests that investors find green Sukuk attractive, willing to accept lower returns. Given the positive investor response to green initiatives in the market, issuers can capitalize on the growing demand for green Sukuk, leading to low-cost funding. Originality/value This study makes an important contribution to the literature at the interface of Islamic finance and environmental sustainability. In particular, it stands out by focusing on the pricing dynamics in the green Sukuk market and highlights the potential benefits of issuing green Sukuk to help achieve sustainability goals while providing access to lower cost of capital for the transition to a low-carbon economy.

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“…This study mentioned that bonds and sukuk are highly interconnected and sensitive to external shock. Research by Billah et al (2023) on the asymmetric connectedness and spillover effect between bond and sukuk found that both markets have a persistent connectedness and are less affected by global risk factors. In terms of portfolio analysis, it shows that Sukuk is effective as a hedge against bond risk and global factors, especially during the Covid-19 pandemic.…”

Section: Previous Studiesmentioning

confidence: 99%

Bond and Sukuk Interconnectedness Analysis: A Comparative Study between GCC and MENA Countries Amidst Global Crises

Primambudi,

Siddiq,

Rafsanzani

2023

JIEBR

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This paper aims to analyze the interconnectedness between Bond and Sukuk markets in the Gulf Cooperation Council (GCC) and Middle East and North Africa (MENA) countries. This study utilized the TVP-VAR extended joint connectedness method. The observed period was from January 2020 to October 2023, encompassing significant global events such as the COVID-19 pandemic, the Russia-Ukraine war, and the Israeli-Palestinian war. The results show the interconnectedness of bond and sukuk markets in both regions by 73% (based on TCI). The Bond and Sukuk instruments in MENA act as transmitters, while Bond and Sukuk in GCC act as receivers. The study suggests that the Sukuk in GCC and MENA may serve as an attractive option for diversified assets compared to Bonds. Additionally, the paper highlights structural changes and market dynamics during the crisis period that affected financial stability in both regions. The anticipated contribution of this study is to enriching the global economic in term of financial literature and offering policy insight to manage risks and improve financial system resilience in GCC and MENA countries.

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Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors

Cited by 25 publications

References 73 publications

Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war

Interconnectivity and investment strategies among commodity prices, cryptocurrencies, and G-20 capital markets: A comparative analysis during COVID-19 and Russian-Ukraine war

Exploring the greenium in the green Sukuk universe: evidence from the primary market

Bond and Sukuk Interconnectedness Analysis: A Comparative Study between GCC and MENA Countries Amidst Global Crises

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