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Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011

The aim of this study is to investigate stock market reactions to the announcements of sukuk issuance in Malaysia for the period of study, 2004 to 2011 using 50 listed companies. This research also aims to identify the structure, amount, tenure, sector and rating of sukuk issuance in Malaysia that w...

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Main Author: Syazwani Abd Rahim
Format: Thesis
Language:English
Published: Universiti Sains Islam Malaysia 2015
Subjects:
Stock market
Sukuk issuance
Stocks
Online Access:http://ddms.usim.edu.my/handle/123456789/8895
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spelling my.usim-88952017-02-24T08:53:15Z Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011 Syazwani Abd Rahim Stock market Sukuk issuance Stocks The aim of this study is to investigate stock market reactions to the announcements of sukuk issuance in Malaysia for the period of study, 2004 to 2011 using 50 listed companies. This research also aims to identify the structure, amount, tenure, sector and rating of sukuk issuance in Malaysia that were least affected during the 2008 global financial crisis. It is also important to examine the confidence effects among sukuk investors in Malaysia. The study uses cumulative average abnormal return (CAAR) to check the reactions with a three year estimation period. The confidence effect will be measured using an Equity Market Sentiment Index (EMSI). This study focuses on FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI), FTSE Bursa Malaysia Emas Shari’ah Index (FBM EMAS), FTSE Bursa Malaysia Hijrah Shari’ah Index (FBM HIJRAH) and Dow Jones Islamic Market (DJIM). The sources of data come from Datastream, Bloomberg database, Securities Commission Malaysia and Bursa Malaysia. This research examines symmetric and asymmetric event windows to check the market efficiency. In relation to the first objective of this research, the findings show that the markets reacted positively before the crisis, and negatively and significantly both during and after the crisis. Addressing the second objective, the results suggest the best structure is Musyarakah; the best rating is the excellent rating; the best amount range is in RM10.1- 50 million; the best sector is the services sector and the best tenure range is 5.01- 10 years. The researcher advices policy makers to guide regulators, investors and issuers to the best sukuk that remained stable during a crisis.With respect to the third objective, sukuk investors did not display high risk-seeking behavior before the 2008 crisis. This analysis will provide valuable information and guidelines to issuers, policy makers, regulatory bodies and investors to Islamic bonds. 2015-08-04T07:37:43Z 2015-08-04T07:37:43Z 2014-02 Thesis http://ddms.usim.edu.my/handle/123456789/8895 en Universiti Sains Islam Malaysia
institution Universiti Sains Islam Malaysia
building USIM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universit Sains Islam i Malaysia
content_source USIM Institutional Repository
url_provider http://ddms.usim.edu.my/
language English
topic Stock market
Sukuk issuance
Stocks
spellingShingle Stock market
Sukuk issuance
Stocks
Syazwani Abd Rahim
Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011
description The aim of this study is to investigate stock market reactions to the announcements of sukuk issuance in Malaysia for the period of study, 2004 to 2011 using 50 listed companies. This research also aims to identify the structure, amount, tenure, sector and rating of sukuk issuance in Malaysia that were least affected during the 2008 global financial crisis. It is also important to examine the confidence effects among sukuk investors in Malaysia. The study uses cumulative average abnormal return (CAAR) to check the reactions with a three year estimation period. The confidence effect will be measured using an Equity Market Sentiment Index (EMSI). This study focuses on FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI), FTSE Bursa Malaysia Emas Shari’ah Index (FBM EMAS), FTSE Bursa Malaysia Hijrah Shari’ah Index (FBM HIJRAH) and Dow Jones Islamic Market (DJIM). The sources of data come from Datastream, Bloomberg database, Securities Commission Malaysia and Bursa Malaysia. This research examines symmetric and asymmetric event windows to check the market efficiency. In relation to the first objective of this research, the findings show that the markets reacted positively before the crisis, and negatively and significantly both during and after the crisis. Addressing the second objective, the results suggest the best structure is Musyarakah; the best rating is the excellent rating; the best amount range is in RM10.1- 50 million; the best sector is the services sector and the best tenure range is 5.01- 10 years. The researcher advices policy makers to guide regulators, investors and issuers to the best sukuk that remained stable during a crisis.With respect to the third objective, sukuk investors did not display high risk-seeking behavior before the 2008 crisis. This analysis will provide valuable information and guidelines to issuers, policy makers, regulatory bodies and investors to Islamic bonds.
format Thesis
author Syazwani Abd Rahim
author_facet Syazwani Abd Rahim
author_sort Syazwani Abd Rahim
title Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011
title_short Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011
title_full Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011
title_fullStr Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011
title_full_unstemmed Stock market reactions and confidence effect following Sukuk issuance in Malaysia, 2004-2011
title_sort stock market reactions and confidence effect following sukuk issuance in malaysia, 2004-2011
publisher Universiti Sains Islam Malaysia
publishDate 2015
url http://ddms.usim.edu.my/handle/123456789/8895
_version_ 1645152498890047488
score 13.222552

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