Nursilah Ahmad

Investigating the Presence of Long Memory in DJIM Index Yield Spreads

Abstract 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.

Exchange Rate Pass-through Estimates for Sukuk Issuing Countries

Abstract The aim of the study is to estimate the degree of import and consumer prices exchange rate pass-through for sukuk issuing OIC member countries. Exchange rate pass-through is estimated based on recursive vector autoregresion (VAR) model. Data are yearly covering the period 1970-2010 and are sourced from International Financial Statistics and SESRIC database. The findings indicate that import and consumer prices pass-through increases in the long horizon in the case of Bahrain and Saudi Arabia. Other countries reported low degree of both import and consumer prices pass-through with no discernible patterns. Policymakers and investors might benefits from the findings since pass-through estimates indicate inflation and exchange rate risk exposure particularly for intra-OIC cross-border sukuk issuance.