بررسی حضور حافظه طولانی مدت بر روی شاخص میزان بازدهی DJIM
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|24046||2013||7 صفحه PDF||سفارش دهید||2111 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Procedia Economics and Finance, Volume 7, 2013, Pages 73–79
The aim of this study is to investigate the presence of long memory in sukuk yield spreads and forecast the future yield spreads for sukuk. Specifically, the focus is on the yield spread between Dow Jones Islamic Markets Index (DJIM) and the Malaysian Government Investment Issues (GII). The study uses monthly data on the DJIM Index and GII yields from 2005:08 to 2012:04. Data are sourced from Bloomberg database and Datastream. Using ARMA (autoregressive moving average) estimator method, the data are used to test the hypothesis that the yield spreads has long memory. The findings show no evidence that the yield spreads have long memory. Since yield spreads can serve as a leading indicator of economic conditions, the empirical estimator method used in this research has an implication for forecasting future yield spreads of Islamic debt market financial instruments
The yield spread analysis helps investors understand the market’s trend and the direction the economy is going to take. When spreads widen between two sukuk instruments with different quality ratings, it implies that the market is factoring more risk of default on lower grade sukuk. The anticipation of greater risk of default implies a slowing economy. On the other hand, a narrowing of spreads implies that the market is factoring in less risk. This might be due to higher expectation of economic growth. This paper attempts to investigate the presence of long memory in DJIM as an early indication of economic conditions. If there is asignificant evidence of the presence of long memory in sukuk spreads, it can be used as forecasting tools in Islamic capital market.
نتیجه گیری انگلیسی
The yield spread analysis helps investors understand the market’s trend and the direction the economy is going to take. When the spread is wide between two financial instruments, the investors can conclude that the economy is slowing down and thus that the market is predicting a greater risk of default. On the contrary, when the spread narrows down, the default risk is smaller due to perhaps the expanding economy. Study onthe yield spread also helps interested lenders determine their profitability when providing loan to a borrower. The key to sukuk progress is in understanding the pricing and risk characteristics of each different types of sukuk structure and whether it can serve as a leading indicator of the economy. The empirical estimator method used in this research allows the testing for autocorrelation in spreads, the existence of which has implications for forecasting future yield spreads. Future research in the areas might want to compare the forecasting abilities of different sukuk indexes and combine the output of different predictors into a final forecast.