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Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings

Syazwani Abd Rahim & Nursilah Ahmad

Journal of Investment Management2016https://doi.org/10.11648/j.jim.20160506.19article
ABDC C
Weight
0.34

What the paper says

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.

4 citations

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https://doi.org/https://doi.org/10.11648/j.jim.20160506.19

Or copy a formatted citation

@article{syazwani2016,
  title        = {{Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings}},
  author       = {Syazwani Abd Rahim & Nursilah Ahmad},
  journal      = {Journal of Investment Management},
  year         = {2016},
  doi          = {https://doi.org/https://doi.org/10.11648/j.jim.20160506.19},
}

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Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings

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Evidence weight

0.34

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.