Purpose

The purpose of this study is to empirically investigate the asymmetric effects of financial risk on Sukuk market development for a sample of Malaysian countries over the period of 2010–2021.

Design/methodology/approach

This study refers to the International Country Risk Guide (ICRG) in determining the financial risk factors to be studied in addition to the Malaysia financial stress index (FSI) to capture changes in financial risk level. The authors use the nonlinear autoregressive distributed lag (NARDL) model to tackle the nonlinear relationships between identified financial risk variables and Sukuk market development.

Findings

The results suggest the existence of a long-run relationship between foreign debt service stability, international liquidity stability (ILS), exchange rate stability (ERS) and financial stress level with the Sukuk market development in Malaysia. Indeed, higher ILS and ERS will boost Sukuk market size, whereas higher foreign debt services and financial stress are negatively related to Sukuk market development. Findings also indicate that the long-run positive and negative impacts of identified financial risk components on Sukuk market development are statistically different. Taking into account the role of the Sukuk market in facilitating Malaysia’s economic growth, the country should aim to keep the foreign debt-to-GDP ratio at a sustainable level.

Research limitations/implications

This study points to three possible directions for future research. The first is the differential impact of financial risk components on Sukuk issuance for different Sukuk structures. As more data becomes available in the future, this area could be further explored by conducting the above analysis for different combinations of Sukuk structures and currency denominations. In addition, future researchers could also consider exploring the variability of financial risk impacts through comparative studies of the leading Sukuk-issuing countries to account for differences in regulatory frameworks and supporting infrastructure.

Practical implications

This study provides valuable practical and policy implications for strengthening the growth of the Sukuk market. While benefiting from the diversification benefits of funding sources to finance private or government projects and developments, Malaysia should remain vigilant to global economic conditions, foreign exchange markets and financial stress levels, as all of these factors may significantly influence investor sentiment and the rate of return offered by Sukuk issuance.

Originality/value

The use of the NARDL approach, which investigates the long-run effects of financial risk factors on Sukuk market development in Malaysia, makes this study a valuable addition to the literature, as there has been little research into the asymmetric effects of those variables on Sukuk market development using samples from emerging Asian markets.

中文翻译：

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金融风险对伊斯兰债券市场发展的长期不对称影响：来自马来西亚的经验证据

目的

本研究的目的是实证调查 2010 年至 2021 年期间金融风险对马来西亚国家样本的伊斯兰债券市场发展的不对称影响。

设计/方法论/途径

本研究参考国际国家风险指南（ICRG）确定研究的金融风险因素，并参考马来西亚金融压力指数（FSI）来捕捉金融风险水平的变化。作者使用非线性自回归分布滞后 (NARDL) 模型来解决已识别的金融风险变量与伊斯兰债券市场发展之间的非线性关系。

发现

结果表明，外债偿付稳定性、国际流动性稳定性（ILS）、汇率稳定性（ERS）和金融压力水平与马来西亚伊斯兰债券市场的发展之间存在长期关系。事实上，较高的 ILS 和 ERS ​​将扩大伊斯兰债券市场规模，而较高的外债还本付息和财务压力则与伊斯兰债券市场发展呈负相关。调查结果还表明，已确定的金融风险成分对伊斯兰债券市场发展的长期积极和消极影响在统计上是不同的。考虑到伊斯兰债券市场在促进马来西亚经济增长方面的作用，该国应致力于将外债与国内生产总值的比率保持在可持续的水平。

研究局限性/影响

这项研究指出了未来研究的三个可能的方向。首先是不同伊斯兰债券结构的金融风险成分对伊斯兰债券发行的不同影响。随着未来更多数据的出现，可以通过对伊斯兰债券结构和货币面额的不同组合进行上述分析来进一步探索这一领域。此外，未来的研究人员还可以考虑通过对主要伊斯兰债券发行国的比较研究来探索金融风险影响的可变性，以解释监管框架和支持基础设施的差异。

实际影响

这项研究为加强伊斯兰债券市场的增长提供了宝贵的实践和政策启示。在受益于为私人或政府项目和发展提供资金来源的多元化优势的同时，马来西亚应对全球经济状况、外汇市场和金融压力水平保持警惕，因为所有这些因素都可能显着影响投资者情绪和回报率由伊斯兰债券发行提供。

原创性/价值

NARDL 方法的使用调查了金融风险因素对马来西亚伊斯兰债券市场发展的长期影响，使这项研究成为文献的一个有价值的补充，因为很少有人研究这些变量对伊斯兰债券的不对称影响使用亚洲新兴市场的样本进行市场开发。