Sukuk liquidity and creditworthiness during COVID-19
Source of Publication
The Quarterly Review of Economics and Finance
This paper presents the empirical liquidity study of Islamic fixed-income securities during 2020-2021. Using bid-ask and Z-spread metrics we demonstrate that the apogee of both, liquidity and credit stresses in international sukuk market is reached in early April 2020. Contrasting results for non-Islamic fixed-income instruments, we show that sukuk credit spreads recover to pre-Covid levels faster than their bid-ask spreads. However, we find that the share of liquidity component in the yield spread of sukuks always remains below 1%, revealing that Covid-19 does not worsen in relative terms the economic attractiveness of this financing channel for Shariah-concerned entities and investors.
Islamic fixed-income securities, liquidity study, Covid-19, credit spreads, bid-ask spreads
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Gubareva, Mariya; Sokolova, Tatiana; Umar, Zaghum; and Vo, Xuan Vinh, "Sukuk liquidity and creditworthiness during COVID-19" (2024). All Works. 6310.
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Open Access Type
Hybrid: This publication is openly available in a subscription-based journal/series