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首页> 外文期刊>The North American journal of economics and finance >Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses
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Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses

机译：马来西亚主权回教债券市场是否为全球固定收益投资者提供投资组合多元化的机会？小波相干和多元GARCH分析的证据

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摘要

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) offer any advantages in terms of global diversification. In this context, we examined the volatilities and correlations of sovereign bond indexes in developed countries, such as the US, Canada, Germany, the UK, Australia, and Japan, and the Thomson Reuters BPA Malaysia Sukuk Index, using wavelet coherence and multivariate-GARCH analyses. The data cover the period January 2010 December 2015. The results of the study significantly highlight that wavelet coherence illustrates lower co-movement between returns on developed market bond index (the US, the UK, Australia, Canada, Germany, and Japan) with returns on the Malaysian sukuk index during the sample period. Moreover, the Malaysian sukuk market has negative unconditional correlation with the US and Canadian bond markets, which is a good sign of diversification benefits. This study reveals attractive opportunities in terms of diversification benefits, with credit quality and sharia-compliant financial sector exposure for investors who want to invest in fixed-income securities.
机译：理解资产收益之间的共同移动是金融中的关键问题，因为投资者可以通过分散投资来最大程度地降低风险。国际投资者寻求其他资产类别来分散他们的投资组合。因此，研究回教债券（伊斯兰债券）是否在全球多元化方面具有任何优势将是有意义的。在此背景下，我们使用小波相关性和多元变量研究了发达国家（例如美国，加拿大，德国，英国，澳大利亚和日本）以及汤姆森路透BPA马来西亚Sukuk指数的波动率和相关性。 GARCH分析。数据涵盖了2010年1月至2015年12月这一时期。研究结果突出表明，小波相干性说明发达市场债券指数（美国，英国，澳大利亚，加拿大，德国和日本）的收益与收益之间的共同变动较小。样本期内的马来西亚回教债券指数。此外，马来西亚回教债券市场与美国和加拿大债券市场具有负无条件的负相关性，这是多元化收益的良好标志。这项研究揭示了多元化收益方面的诱人机会，对于想要投​​资固定收益证券的投资者而言，信贷质量和符合伊斯兰教义的金融部门敞口很大。

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