•  
  •  
 

Abstract

This research aims to analyze the differences in Risk (Value at Risk) and Return between sukuk and bonds. The research approach utilizes the T-test to examine this comparison. The data source is the closing prices of Sukuk and Bonds for 2018-2020. The research results indicate a significant difference between Sukuk and Bonds regarding returns. A vital difference also occurs in Sukuk and Bonds's Value at Risk (VaR). The results of this study prove that Sukuk has higher returns and lower VaR than Bonds. Sukuk can be a good instrument for portfolio diversification.

Bahasa Abstract

Penelitian ini bertujuan untuk menganalisis perbedaan Risiko (Value at Risk) dan Return antara sukuk dan obligasi. Pendekatan penelitian menggunakan uji T untuk menguji perbandingan tersebut. Sumber datanya adalah harga penutupan Sukuk dan Obligasi tahun 2018-2020. Hasil penelitian menunjukkan adanya perbedaan yang signifikan antara Sukuk dan Obligasi mengenai return. Perbedaan penting juga terjadi pada Value at Risk (VaR) Sukuk dan Obligasi. Hasil penelitian ini membuktikan bahwa Sukuk memiliki return yang lebih tinggi dan VaR yang lebih rendah dibandingkan Obligasi. Sukuk dapat menjadi instrumen yang baik untuk diversifikasi portofolio.

References

Afshar, T. A. (2013). Compare and Contrast Sukuk ( Islamic Bonds ) with Conventional Bonds , Are they Compatible ? Journal of Global Business Management, 9(1), 44–52.

Ary, & Gumanti, T. (2011). Manajemen Investasi-Konsep, Teori dan Aplikasi. Mitra Wacana Media.

Bungin, B. (2005). Metodologi Penelitian Kuantitatif. Kencana Prenada Media Grup.

Cakir, S., & Raei, F. (n.d.). Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk?

Dede Abdul Fatah. (2011). Perkembangan Obligasi Syariah (Sukuk) Di Indonesia: Analisis Peluang Dan Tantangan. Al-‘Adalah, X(1), 35–46.

Fathurahman, H., & Fitriati, R. (2013). Comparative Analysis of Return on Sukuk and Conventional Bonds. American Journal of Economics, 2013(3), 159–163. https://doi.org/10.5923/j.economics.20130303.05

Haider, J. (2010). Islamic Capital Market : Sukuk and its Risk Management in the Current Scenario. Reading Research Quarterly, 09(05), 1–69.

Hassan, K. A. (2012). Comparison between Sukuk and conventional bonds: Value at risk approach. SSRN Electronic Journal, 1–57.

IIFM. (2017). A comprehensive study of the International Sukuk market IIFM Sukuk Report 6th Edition. July.

Jobst, A., Kunzel, P., Mills, P., & Sy, A. (2008). Islamic bond issuance: what sovereign debt managers need to know. International Journal of Islamic and Middle Eastern Finance and Management, 1(4), 330–344. https://doi.org/10.1108/17538390810919637

Jorion, P. (2000). Value at Risk: The New Benchmark for Managing Financial Risk.

Jorion, P. (2007). Value at Risk: The New Bemchmark in Controlling Market Risk. In Mcgraw-Hill Professional (Vol. 1, p. 997). https://link.springer.com/article/10.1007/s00362-009-0296-7#article-info

Kostandyan, B. (2018). Comparative Analysis of Sukuk and Conventional Bonds Based on the Value-At-Risk Model. SSRN Electronic Journal, 1–15. https://doi.org/10.2139/ssrn.2786096

Markowitz, H. (1952). Portfolio Selection Harry. The Journal of Finance, 7(1), 77–91. https://doi.org/10.2307/2345307

Ministry of Finance. (2022). Report.

Mohamed, H. H., Masih, M., & Bacha, O. I. (2015). Why do issuers issue Sukuk or conventional bond? Evidence from Malaysian listed firms using partial adjustment models. Pacific Basin Finance Journal, 34, 233–252. https://doi.org/10.1016/j.pacfin.2015.02.004

Mosaid, F. El, & Rachid Boutti, R. (2014). Sukuk and Bond Performance in Malaysia. International Journal of Economics and Finance, 6(2), 226–234. https://doi.org/10.5539/ijef.v6n2p226

Naifar, N., & Hammoudeh, S. (2016). Do global financial distress and uncertainties impact GCC and global sukuk return dynamics? Pacific Basin Finance Journal, 39, 57–69. https://doi.org/10.1016/j.pacfin.2016.05.016

Nasir, A., & Farooq, U. (2017). Analysis of value at risk of Sukuk and conventional bonds in Pakistan. Journal of Islamic Accounting and Business Research, 8(4), 375–388. https://doi.org/10.1108/JIABR-01-2014-0004

Pirgaip, B., Arslan-Ayaydin, Ö., & Karan, M. B. (2021). Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey. Global Finance Journal, 50(April 2020), 1–18. https://doi.org/10.1016/j.gfj.2020.100533

Ramasamy, R., Munisamy, S., & Helmi, M. H. M. (2011). Relative Risk Of Islamic Sukuk Over Government And Conventional Bonds. Global Journal of Management and Business Research, 11(6), 1–9.

Safari, M. (2012). Are Sukuk Securities the Same as Conventional Bonds? SSRN Electronic Journal, 1(1), 101–125. https://doi.org/10.2139/ssrn.1783551

Saiti, B., Bacha, O. I., & Masih, M. (2014). The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors. Borsa Istanbul Review, 14(4), 196–211. https://doi.org/10.1016/j.bir.2014.08.002

Sapto R. (2003). Panduan Investasi Bonds. Gramedia Pustakaa Utama.

Smaoui, H., & Khawaja, M. (2017). The Determinants of Sukuk Market Development. Emerging Markets Finance and Trade, 53(7), 1501–1518. https://doi.org/10.1080/1540496X.2016.1224175

Soewarno. (1995). Hidrologi Aplikasi Metode Statistik Untuk Analisa Data. Nova Science Publishers, Inc.

Download

Share

COinS
 
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.