Investigating and determining the factors of the yield gap between types of sukuk in banks' financial statements

Document Type : Original Article

Author

Assistant Professor, Department of Islamic Finance, Faculty of Economics, Kharazmi University, Tehran, Iran

Abstract

The use of Islamic banking methods has supporters and opponents who each have their own reasons for agreeing or disagreeing. Various tools are used in Islamic banking to carry out banking and financing processes, including Sukuk and Islamic treasury documents. In this research, the yield gap factors in all types of sukuk and Islamic treasury bonds have been evaluated, and for this purpose, the data of ten active banks in the country's banking network in the period of 1390 to 1401 have been evaluated, and the suitability of the data panel for analysis has been evaluated. and analysis has been used. Finally, after estimating the model, it was found that bank-level characteristics (i.e., high interest coverage ratio, high return on assets, and large size) significantly reduce sukuk and bond spreads, while other bank characteristics (equity, volatility and leverage) significantly increase these spreads. Conventional bank bonds and sukuk with longer maturities show higher spreads for banks that are highly leveraged and have high volatility. Macroeconomic factors with similar values have significant effects on the change in the yield spread of both types of bonds.

Keywords

Main Subjects

References

  1. Gharavi, Seyed Farshid, Ahmad naghiloo, Ashkan rahimzadeh, The effects of Islamic bonds (sukuk) on economic growth based on a stochastic dynamic equilibrium model DSGE, Financial Economics Vol. (17) Issue (63) September 2023[in persian]

    mohammad tohidi, An Analysis of the Jurisprudential Aspects of the Islamic Treasury Bills Issued in Iran, , Journal of Budget and Finance Strategic Research, Volume 1, Issue 4, March 2021, Pages 11-44 [in persian] DOI: 20.1001.1.27171809.1399.1.4.1.6

    tajmir riyahi, hamed, rahimof, Hamidreza, Ranking of international sukuk operating models according to the needs of the steel industry, Journal of Budget and Finance Strategic Research, Volume 4, Issue 3, September 2023, Pages 65-106 [in persian] DOI: 20.1001.1.27171809.1402.4.3.3.7

    Yarmohammadi Reza, Mohammad, Tohidi, Hamed Tajmir, Iman Samadinia, Designing the development framework of the Socially Responsible Investment Securities (Sukuk) in the capital market of the Islamic Republic of Iran, Journal of Economic Essays; an Islamic approach, Volume 19, Issue 38 - Serial Number 38, October 2022, Pages 267-301 [in persian]

    Zandiyeh, vahid, zandiyeh, saeed, The Role of Securitization in Countries’ Economic Growth and Development (Focus on Need to Deployment of Securitization Market in IRAN), investment knowledge,  Volume 4, Issue 16, September 2022, Pages 45-65 [in persian]

    Ariff, M., Chazi, A., Safari, M., & Zarei, A. (2017). Significant Difference in the Yields of Sukuk Bonds versus Conventional Bonds. Journal of Emerging Market Finance, 16(2), 115-135.

    Boukhatem J. How does financial risk affect sukuk market development? Empirical evidence from ARDL approach. Heliyon. 2022 May 21;8(5):e09453.

    Brunnermeier, Markus K., and Martin Oehmke. 2013. The Maturity Rat Race. The Journal of Finance 68: 483–521

    Dang, Van Dan, and Japan Huynh. 2020. Holdings of Sovereign Bonds by Commercial Banks in Vietnam. Cogent Economics and Finance 8: 1818409.

    De Roover, R. (1954), “New interpretation of the history of banking”, Journal of World History, Vol. 2.

    Godlewski, Christophe J., Rima Turk-Ariss, and Laurent Weill. 2013. Sukuk vs. conventional bonds: A stock market perspective. Journal of Comparative Economics 41: 745–61.

    González-Fernández, M.; González-Velasco, C. Bond Yields, Sovereign Risk and Maturity Structure. Risks 2018, 6, 109.

    Hilmola, O.-P. Inflation and Hyperinflation Countries in 2018–2020: Risks of Different Assets and Foreign Trade. J. Risk Financial Manag. 2021, 14, 618.

    Jubilee, R.V.W., Kamarudin, F., Latiff, A.R.A. et al. Do Islamic versus conventional banks progress or regress in productivity level?. Futur Bus J 7, 22 (2021).

    Kayakus, M.; Tutcu, B.; Terzioglu, M.; Talaş, H.; Ünal Uyar, G.F. ROA and ROE Forecasting in Iron and Steel Industry Using Machine Learning Techniques for Sustainable Profitability. Sustainability 2023, 15, 7389.

    1. Hassan et al(2018)The determinants of co-movement dynamics between sukuk and conventional bonds, Q. Rev. Econ. Finance

    Mohd Roslan, N. R. I., Nor Muhamad, N. H., & Che Yaacob, A. (2023). Development of Wakf Fund in Public Higher Education Institutions. Environment-Behaviour Proceedings Journal, 8(SI14), 39–43.

    Naeem, M.A., Karim, S., Yarovaya, L. et al. Systemic risk contagion of green and Islamic markets with conventional markets. Ann Oper Res (2023).

    Orsingher, R. (1967), Banks of the World, Macmillan, London.

    O'Sullivan M. Interest, Usury, and the Transition from “Muslim” to “Islamic” Banks, 1908–1958. International Journal of Middle East Studies.2020;52(2):261-287.

    Rubin, Jared, Rulers, Religion, and Riches: Why the West Got Rich and the Middle East Did Not (Cambridge, UK: Cambridge University Press, 2012)

    Saeed, Momna & Elnahass, Marwa & Izzeldin, Marwan & Tsionas, Mike, 2021. "Yield spread determinants of sukuk and conventional bonds," Economic Modelling, Elsevier, vol. 105(C).

    Santoso, B.; Widodo, W.; Akbar, M.T.; Ahmad, K.; Setianto, R.H. The Determinant of Sukuk Rating: Agency Theory and Asymmetry Theory Perspectives. Risks 2022, 10, 150.

    Sial, M.S.; Cherian, J.; Meero, A.; Salman, A.; Abdul Rahman, A.A.; Samad, S.; Negrut, C.V. Determining Financial Uncertainty through the Dynamics of Sukuk Bonds and Prices in Emerging Market Indices. Risks 2022, 10, 61.

    Surya, B.; Menne, F.; Sabhan, H.; Suriani, S.; Abubakar, H.; Idris, M. Economic Growth, Increasing Productivity of SMEs, and Open Innovation. J. Open Innov. Technol. Mark. Complex. 2021, 7, 20.

    Wanke P, Azad M, Barros CP, Hassan M (2016) Predicting efficiency in Islamic banks: an integrated multicriteria decision making (MCDM) approach. J Int Financ Mark Inst Money 45:126–141

    Yıldırım, S., Yıldırım, D.C. and Diboglu, P. (2020), "Does Sukuk market development promote economic growth?", PSU Research Review, Vol. 4 No. 3, pp. 209-218.

    Zhou, Sheunesu. 2021. Macroeconomic Determinants of Long-Term Sovereign Bond Yields in South Africa. Cogent Economics and Finance 9: 1929678.

    Zulkhibri.M; (2015).“A synthesis of theoretical and empirical research on sukuk”, borsa-istanbul-review /2214-8450.

Budget and Finance Strategic Research
Volume 6, Issue 2 - Serial Number 22
Summer Quarterly
May 2025
Pages 67-91

Files

History

  • Receive Date: 05 November 2024
  • Revise Date: 10 May 2025
  • Accept Date: 11 May 2025

Share

How to cite

Statistics