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Investigating the Presence of Long Memory in DJIM Index Yield Spreads

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 us...

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Main Authors: Nursilah, Ahmad,, Sulistya, Rusgianto,
Format: Conference Paper
Language:en_US
Published: Elsevier Science Bv 2015
Subjects:
Sukuk
yield spreads
long memory
ARMA
DJIM
Online Access:http://ddms.usim.edu.my/handle/123456789/8959
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spelling my.usim-89592015-08-05T03:13:48Z Investigating the Presence of Long Memory in DJIM Index Yield Spreads Nursilah, Ahmad, Sulistya, Rusgianto, Sukuk yield spreads long memory ARMA DJIM 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. (C) 2013 The Authors. Published by Elsevier B.V. 2015-08-05T03:13:48Z 2015-08-05T03:13:48Z 2013 Conference Paper 2212-5671 http://ddms.usim.edu.my/handle/123456789/8959 en_US Elsevier Science Bv
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 en_US
topic Sukuk
yield spreads
long memory
ARMA
DJIM
spellingShingle Sukuk
yield spreads
long memory
ARMA
DJIM
Nursilah, Ahmad,
Sulistya, Rusgianto,
Investigating the Presence of Long Memory in DJIM Index Yield Spreads
description 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. (C) 2013 The Authors. Published by Elsevier B.V.
format Conference Paper
author Nursilah, Ahmad,
Sulistya, Rusgianto,
author_facet Nursilah, Ahmad,
Sulistya, Rusgianto,
author_sort Nursilah, Ahmad,
title Investigating the Presence of Long Memory in DJIM Index Yield Spreads
title_short Investigating the Presence of Long Memory in DJIM Index Yield Spreads
title_full Investigating the Presence of Long Memory in DJIM Index Yield Spreads
title_fullStr Investigating the Presence of Long Memory in DJIM Index Yield Spreads
title_full_unstemmed Investigating the Presence of Long Memory in DJIM Index Yield Spreads
title_sort investigating the presence of long memory in djim index yield spreads
publisher Elsevier Science Bv
publishDate 2015
url http://ddms.usim.edu.my/handle/123456789/8959
_version_ 1645152508310454272
score 13.222552

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