The intention of the article is to explore whether different rating announcements on sukuk issuance provide any supplementary information to market for the years 2004-2011 in Malaysia. Data collected from the Securities Commission Malaysia (SC) and Bloomberg database. This research classifies the sukuk ratings from highest to poor quality. The investigation exercises event study methodology using cumulative average abnormal return (CAAR) on symmetric and asymmetric performances based on the reaction of the FTSE Kuala Lumpur Composite Index (FTSEKLCI) to the news of sukuk issuance. The results designate positive and significant asymmetric reactions on sukuk issuance. The market responds positively and significantly to the announcements of sukuk for the rating of high-quality, excellent and good ratings. However, FTSE KLCI will react negatively for the medium, questionable and weak ratings. The conclusions would be useful to issuers, investors, and decision-makers in assessing the credit risk of sukuk issuance. This study assists the sukuk issuers and investors in making profitable decisions on their investment.
| Published in | Journal of Investment and Management (Volume 5, Issue 6) |
| DOI | 10.11648/j.jim.20160506.19 |
| Page(s) | 158-165 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2016. Published by Science Publishing Group |
Sukuk Ratings, Event Study, Asymmetric, FTSE KLCI, CAAR
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APA Style
Syazwani Abd Rahim, Nursilah Ahmad. (2016). Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings. Journal of Investment and Management, 5(6), 158-165. https://doi.org/10.11648/j.jim.20160506.19
ACS Style
Syazwani Abd Rahim; Nursilah Ahmad. Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings. J. Invest. Manag. 2016, 5(6), 158-165. doi: 10.11648/j.jim.20160506.19
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Download@article{10.11648/j.jim.20160506.19,
author = {Syazwani Abd Rahim and Nursilah Ahmad},
title = {Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings},
journal = {Journal of Investment and Management},
volume = {5},
number = {6},
pages = {158-165},
doi = {10.11648/j.jim.20160506.19},
url = {https://doi.org/10.11648/j.jim.20160506.19},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jim.20160506.19},
abstract = {The intention of the article is to explore whether different rating announcements on sukuk issuance provide any supplementary information to market for the years 2004-2011 in Malaysia. Data collected from the Securities Commission Malaysia (SC) and Bloomberg database. This research classifies the sukuk ratings from highest to poor quality. The investigation exercises event study methodology using cumulative average abnormal return (CAAR) on symmetric and asymmetric performances based on the reaction of the FTSE Kuala Lumpur Composite Index (FTSEKLCI) to the news of sukuk issuance. The results designate positive and significant asymmetric reactions on sukuk issuance. The market responds positively and significantly to the announcements of sukuk for the rating of high-quality, excellent and good ratings. However, FTSE KLCI will react negatively for the medium, questionable and weak ratings. The conclusions would be useful to issuers, investors, and decision-makers in assessing the credit risk of sukuk issuance. This study assists the sukuk issuers and investors in making profitable decisions on their investment.},
year = {2016}
}
TY - JOUR T1 - Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings AU - Syazwani Abd Rahim AU - Nursilah Ahmad Y1 - 2016/10/31 PY - 2016 N1 - https://doi.org/10.11648/j.jim.20160506.19 DO - 10.11648/j.jim.20160506.19 T2 - Journal of Investment and Management JF - Journal of Investment and Management JO - Journal of Investment and Management SP - 158 EP - 165 PB - Science Publishing Group SN - 2328-7721 UR - https://doi.org/10.11648/j.jim.20160506.19 AB - The intention of the article is to explore whether different rating announcements on sukuk issuance provide any supplementary information to market for the years 2004-2011 in Malaysia. Data collected from the Securities Commission Malaysia (SC) and Bloomberg database. This research classifies the sukuk ratings from highest to poor quality. The investigation exercises event study methodology using cumulative average abnormal return (CAAR) on symmetric and asymmetric performances based on the reaction of the FTSE Kuala Lumpur Composite Index (FTSEKLCI) to the news of sukuk issuance. The results designate positive and significant asymmetric reactions on sukuk issuance. The market responds positively and significantly to the announcements of sukuk for the rating of high-quality, excellent and good ratings. However, FTSE KLCI will react negatively for the medium, questionable and weak ratings. The conclusions would be useful to issuers, investors, and decision-makers in assessing the credit risk of sukuk issuance. This study assists the sukuk issuers and investors in making profitable decisions on their investment. VL - 5 IS - 6 ER -
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