Wealth effects of corporate sukuk announcements and risk dynamics: a multi-country study

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This thesis evaluates the wealth effects of corporate Sukuk issuances, based on specific sample traits, for the three largest issuing countries: Malaysia, Indonesia and Saudi Arabia. The sample traits include underlying structure, size of issuance and tenor. Previous studies are inconclusive and relate mainly to Malaysian firms only. This could be attributed to the failure to incorporate the effects of Sukuk types, properly identified crisis period effects and market differences. Bai-Perron (2003) break-point analysis is used to correctly identify the crisis periods for the sample. Event study methodology is applied to ascertain market reaction to announcements for a 51-day announcement window: (-40, +10). The cumulative average abnormal returns were estimated after adjustment for non-synchronous trading using the Scholes and Williams (1977) technique and cross-correlation using the Kolari-Pynnonen (2010) method. Similar break-points were observed for Malaysia and Indonesia, whereas Saudi Arabia had delayed and sustained contagion effects. For wealth effects, the results imply that sample traits affect market reaction significantly. The Malaysian market reacts positively to debt-based issuances before and after the crisis. Reaction to equity-based issuances is significantly negative after the crisis. Reaction is positive for larger issuances and shorter tenors. The Indonesian market reacts positively to debt-based issuances during the crisis period. This can be attributed to high issuer ratings, small issuance size, short tenors and high demand. Saudi market reaction is negative post-crisis, similar to the market reaction to convertible bond announcements as documented in the literature.
Corporate sukuk issuance , Malaysia , Indonesia , Saudi Arabia
Mahomed, Z. (2016). Wealth effects of corporate sukuk announcements and risk dynamics: a multi-country study (Doctoral dissertation). INCEIF, Kuala Lumpur. Retrieved from

Available in physical copy and downloadable format (Call Number: t HG 4651 M216)


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