ISSN: 2222-6990
Open access
The sukuk market in the Islamic capital market has undergone significant evolution and development. During the 2008 global financial crisis, the deteriorating economic condition of countries, especially Malaysia, as the biggest sukuk market in the world, has adversely affected the value of sukuk investments. The decrease of 33 percent in the total global sukuk issuance after the 2008 crisis generated a complicated situation among sukuk investors (classified sukuk as a risky investment), who then had increased the number of sukuk defaults. The high volatility affects long-term efficiency. The daily data of all sukuk indices are collected from Dow Jones Sukuk 1-3 Year Total Return Index (DJSUK3TR) and Dow Jones Sukuk 7-10 Year Total Return Index (DJSUK10TR). Accordingly, this research investigates the types of sukuk market efficiency before, during and after the 2008 global financial crisis utilising the GARCH-in-Mean (GARCH-M) model. The analyses are based on the Efficient Markets Hypothesis (EMH) and the Random Walk model. The results conclude that the sukuk index with a long-term tenure (DJSUK10TR) is the best market performance analysis. Overall, the sukuk market is recorded as an inefficient market. In short, the findings will provide valuable information, guidelines and give confidence to issuers, policymakers, regulatory bodies, and investors to invest and issue sukuk. The empirical contributions in this study show the importance of sukuk to encourage investors to invest in sukuk in order to increase economic growth and investment.
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In-Text Citation: (Rahim et al., 2021)
To Cite this Article: Rahim, S. A., Yaakob, M. N., Daud, N. M., & Zakaria, M. (2021). The Efficiency of Sukuk Indices by Different Tenures: An Analysis From the 2008-Financial Crisis. International Journal of Academic Research in Business and Social Sciences, 11(9), 890–905.
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