Sukuk and bond dynamics in relation to exchange rate

PurposeThis study aims to contribute by expanding the existing literature on Sukuk return and volatility and exploring the implications of the Sukuk-exchange rate interactions. Design/methodology/approachThis study examines the dynamic interactions of Sukuk with exchange rate in 15 countries, employing the Wavelet approach that considers both time and investment horizons. FindingsThe results reveal significant evolving coherence of Sukuk return and volatility with the underlying exchange rate. The relationship is more potent than what this study witnesses in their counterpart bond market. For Sukuk returns, the coherence is negative, whereas it is positive for volatility. Notably, the coherence is strong in the medium to long term and intensifies during extreme economic episodes, especially during the COVID-19 pandemic. These findings are further validated by comparing firm-level matched data for Sukuk and conventional bond. Originality/valueTo the best of the authors' knowledge, this is the first study that reports the dynamic relationship of Sukuk return and volatility with the underlying exchange rate in 15 countries. Collectively, this study unites valuable insights for faith-based active Islamic investors and cross-border portfolio managers.

An Empirical Investigation Of Dynamics Of Institutional Investors' Trading Behaviour And Stock Market Returns In India During COVID-19 Period

The study has explored the dynamic interaction between Foreign Institutional Investors (FII) net investments and Domestic Institutional Investors (DII) net Investments in the Indian stock market for positive and negative feedback trading in both pre and during the COVID period. The study has applied multivariate causality model VAR and found FII series become much more responsive to NIFTY returns in the COVID period. Also, FII investments become more informative during the COVID period. When compared with the pre-Covid period, the effect of DII owned lagged investments has been dominated by the increased effect of FII net investments and NIFTY returns in shaping DII influx in the COVID period. NIFTY returns become nonresponsive to shocks in FII and DII net investments in the COVID period. The study can have substantial inferences for institutional fund flows to revive the Indian stock market from the shocks of COVID-19. © 2022 IEEE.

The effect of COVID-19 on Indian stock market volatility: can economic package control the uncertainty?

Purpose The stock market has shown fluctuating degrees of volatility because of the recent COVID-19 pandemic in India. The present research aims to investigate the effect of the COVID-19 on the stock market volatility, and whether the economic package can control the market volatility or not, measured by a set of certain sector-level economic features and factors such as resilience variables. Design/methodology/approach We examine the correlation matrix, basic volatility model and robustness tests to determine the sector-level economic features and macroeconomic factors helpful in diminishing the volatility rising because of the COVID-19. Findings The outcomes of this study are significant as policymakers and financial analysts can apply these economic factors to set policy replies to handle the unexpected fluctuation in the stock market in sequence to circumvent any thinkable future financial crisis. Originality/value The originality of the paper is to measure the variables affecting the stock market volatility due to COVID-19, and understand the impact of capital market macroeconomic variables and dummy variables to theoretically explain the COVID-19 impact on stock market volatility.