Purpose

This study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions.

Design/methodology/approach

This study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons.

Findings

The results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond.

Originality/value

To the best of the authors’ knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.

中文翻译：

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与汇率相关的伊斯兰债券和债券动态

目的

本研究旨在通过扩展关于伊斯兰债券回报率和波动性的现有文献并探索伊斯兰债券与汇率相互作用的影响来做出贡献。

设计/方法/途径

本研究采用考虑时间和投资期限的小波方法，考察了伊斯兰债券与 15 个国家汇率的动态相互作用。

发现

结果揭示了伊斯兰债券回报率和波动性与基础汇率的显着演变一致性。这种关系比本研究在其对应债券市场中所见证的更为有效。对于伊斯兰债券的回报，一致性是负的，而对于波动性是正的。值得注意的是，从中长期来看，这种一致性很强，并且在极端经济事件期间会加剧，尤其是在 COVID-19 大流行期间。通过比较伊斯兰债券和传统债券的公司层面匹配数据，进一步验证了这些发现。

原创性/价值

据作者所知，这是第一份报告 15 个国家伊斯兰债券回报率和波动性与基础汇率动态关系的研究。总的来说，这项研究为基于信仰的活跃伊斯兰投资者和跨境投资组合经理提供了宝贵的见解。