Does the Malaysian sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses

• Main Authors: Bhuiyan, Rubaiyat Ahsan, Rahman, Maya Puspa, Saiti, Buerhan, Mat Ghani, Gairuzazmi
• Format: Article
• Language: English; English; English
• Published: Elsevier Inc. 2019
• Subjects: HG3368 Islamic Banking and Finance; HG4501 Stocks, investment, speculation
• Online Access: http://irep.iium.edu.my/67317/1/67317_Does%20the%20Malaysian%20Sovereign%20sukuk.pdf; http://irep.iium.edu.my/67317/2/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_SCOPUS.pdf; http://irep.iium.edu.my/67317/3/67317_Does%20the%20Malaysian%20Sovereign%20sukuk_WOS.pdf; http://irep.iium.edu.my/67317/; https://www.sciencedirect.com/science/article/abs/pii/S1062940818300731
• Institution: Universiti Islam Antarabangsa Malaysia

Understanding the co-movement among asset returns is a critical issue in finance, as investors can minimize risk through diversification. International investors seek alternative asset classes to diversify their portfolio. Therefore, it would be meaningful to investigate whether sukuk (Islamic bond)...