The study provides international empirical evidence that sukuk securitization positively impacts ... more The study provides international empirical evidence that sukuk securitization positively impacts the systematic risk increase for originator companies. Using a market-based analysis of 68 sukuk issuances during 2004–2020, the study starts by dividing the full sample of sukuk by the announcement and issue dates of transactions. This paper shows the different model parameters of systematic risk before, during, and after the event window, allowing systematic risk to change gradually within the event windows. The main findings show a decrease in systematic risk before the announcement dates and issuance of sukuk for a window of −/+5 days, which can be explained by the perception of the transfer of risk from originators to sukuk holders when companies decide to finance new projects with sukuk. The post-event increase in systematic risk can be explained because companies tend to invest liquidity in risky assets, which affects the change in capital structure and financial leverage.
The aim of the paper is to estimate the zakat of equity funds in the Saudi stock market based on ... more The aim of the paper is to estimate the zakat of equity funds in the Saudi stock market based on two fiqh rulings: the prevailing ruling that imposes zakat of trade merchandise on the value of all fund units, and the alternative ruling that links the fund zakat to the action of the fund manager in trading the fund components and whether or not zakat has already been paid on those components. The paper utilized the data of 32 equity funds on Saudi Exchange during 2021 and found that the estimated turnover ratios of equity funds support the alternative fiqh ruling. The results are preliminary as they are based on a set of assumptions to estimate the turnover ratios. Based on the results, the paper suggested four options for imposing zakat on equity funds and proposed a new formula to calculate the turnover ratio of equity funds.
The investment concept of sukuk was created as an alternative to conventional bonds since interes... more The investment concept of sukuk was created as an alternative to conventional bonds since interest-bearing instruments are prohibited under Islamic law. Sukuk (commonly referred to Islamic bonds) represent a proportional ownership of tangible assets or a pool of assets. However, the key to understanding these instruments as a financial innovation is to focus on their pricing and risk characteristics. The challenge for sukuk issuing entities becomes to provide an efficient pricing model, which is compliant with Islamic law principles. The aims of this paper are two-fold. Firstly, we explore empirically the determinants of sukuk yield spreads and we describe within a coherent empirical framework the economic implications of the links between sukuk yield spreads, stock market conditions and macroeconomic variables; Secondly, we provide a methodology for estimating the fair price of sukuk in the presence of default risk. This paper presents the first empirical study for the determinants of sukuk spreads using available data and it has several practical implications that are of value for investors, risk managers and the development of Islamic financial markets.
This paper features an application of Diebold and Yilmaz's (2009) spillover index model to as... more This paper features an application of Diebold and Yilmaz's (2009) spillover index model to assess the impact of the global financial crisis on spillovers between the bank sectors in terms of both returns and volatility time series. The spillover investigation is performed on daily return data for Islamic and conventional banks in the Gulf Cooperation Council countries for the period 2005-2015. We use a dynamic conditional multivariate GARCH to directly model the time varying spillover effects among the studied time series. This study finds a strong bidirectional returns spillover between conventional banks and a very weak spillover from Islamic banks to conventional banks, so the transmission of shocks from Islamic banks to conventional banks is reduced. It also finds that the dependence between stock returns in an Islamic bank market structure is more strongly affected by the financial crisis than in a conventional bank market. Moreover, the volatility linkage is highly affecte...
Applied Econometrics and International Development, 2016
This paper examines the contagion effect caused by the European debt crisis on the Saudi Arabian ... more This paper examines the contagion effect caused by the European debt crisis on the Saudi Arabian stock market and the effect’s spread to the real economy. Firstly, the presented analysis tests the hypothesis about the contagion effect and interdependence between the markets by means of Gregory and Hansen's co-integration in presence of structural breaks, as well as the test for common trends proposed by Stock and Watson (1988). Next, to identify the transmission channel of the European financial crisis to the Saudi Arabia real economy, we estimate a model with a dummy variable. Finally, we estimate a stylized Phillips curve to investigate the impact of the crisis on Saudi inflation rate. The empirical results indicate that Saudi Arabian stock market has been notably affected by the European crisis. The dummy variable model demonstrates that the primary transmission channel of the financial crisis to the Saudi Arabian output is international trading. In conclusion, the estimated ...
The dynamics of return and volatility spillover indices were investigated to reveal the strength ... more The dynamics of return and volatility spillover indices were investigated to reveal the strength and direction of transmission that occurred during a financial crisis. The focus of this study was especially placed on the 2007 US subprime mortgage crisis, the global financial crisis, the European sovereign debt crisis, and the dramatic collapse of oil prices since 2014. The paper uses the Diebold and Yilmaz (Economic Journal 119(534): 158-171, 2009, International Journal of Forecasting 28(1): 57-66, 2012) spillover index behavior. Assuming one structural break, return and volatility linkages for Islamic banks in the GCC were stronger than for conventional banks. When multiple breaks were allowed, the spillover index was found to be highly sensitive to various economic events. Overall, the findings of this study provide new insights into the behavior of the Islamic and conventional banks stock returns and volatility spillovers, which may improve investment decisions and the trading strategies portfolio of investors.
International Journal of Gender and Entrepreneurship
PurposeThere have been few investigations regarding the relationship of gender and role models wi... more PurposeThere have been few investigations regarding the relationship of gender and role models with students’ entrepreneurial intention (EI). The purpose of this study is to apply a conceptual framework to explain the relationship of gender and role models with the theory of planned behaviour (TPB) constructs: attitudes towards behaviour (ATB), subjective norms (SN), perceived behaviour control (PBC) and intentions.Design/methodology/approachThe study is based on data collected from a questionnaire survey completed by 1,496 freshman Saudi students enrolled during the 2016-2017 academic year in business, finance and economics undergraduate programmes. To analyse the data and test the proposed hypotheses, a confirmatory factor analysis and structural equation modelling (SEM) are applied.FindingsThe results show that the TPB constructs are validated in the specific Saudi context. In fact, these constructs were significantly related to EI. Only the SN and PBC constructs mediate the rela...
International Journal of Management Science and Engineering Management, 2013
... 5 Page 7. The present paper proposes an integrated approach that combines two dimensions cred... more ... 5 Page 7. The present paper proposes an integrated approach that combines two dimensions credit risk and fiduciary risks. The ... asset. Sukuk can be assimilated both bond and stock-like features issued to finance assets. Like ...
... Les informations comptables sont collectées sur une période de cinq ans s'étalan... more ... Les informations comptables sont collectées sur une période de cinq ans s'étalant de 1995 à ... Zeckhauser (1995) utilisent les informations publiées dans les notes des bilans comptables et montrent que les bénéfices des entreprises augmentent et les volatilités des cash-flows ...
... Slim Mseddi Institute of the Higher Business Studies (IHEC), University of Sfax Route Sidi Ma... more ... Slim Mseddi Institute of the Higher Business Studies (IHEC), University of Sfax Route Sidi Mansour, Km 10, Sfax -Tunisia E-mail: slim_mseddi@yahoo.fr Fathi Abid Faculty of Business and Economics (FSEG), University of Sfax Route de l'aéroport, Km 4.5, Sfax-Tunisia E-mail ...
The dynamics of return and volatility spillover indices were investigated to reveal the strength ... more The dynamics of return and volatility spillover indices were investigated to reveal the strength and direction of transmission that occurred during a financial crisis. The focus of this study was especially placed on the 2007 US subprime mortgage crisis, the global financial crisis, the European sovereign debt crisis, and the dramatic collapse of oil prices since 2014. The paper uses the Diebold and Yilmaz (Economic Journal 119(534): 158-171, 2009, International Journal of Forecasting 28(1): 57-66, 2012) spillover index behavior. Assuming one structural break, return and volatility linkages for Islamic banks in the GCC were stronger than for conventional banks. When multiple breaks were allowed, the spillover index was found to be highly sensitive to various economic events. Overall, the findings of this study provide new insights into the behavior of the Islamic and conventional banks stock returns and volatility spillovers, which may improve investment decisions and the trading strategies portfolio of investors.
The study provides international empirical evidence that sukuk securitization positively impacts ... more The study provides international empirical evidence that sukuk securitization positively impacts the systematic risk increase for originator companies. Using a market-based analysis of 68 sukuk issuances during 2004–2020, the study starts by dividing the full sample of sukuk by the announcement and issue dates of transactions. This paper shows the different model parameters of systematic risk before, during, and after the event window, allowing systematic risk to change gradually within the event windows. The main findings show a decrease in systematic risk before the announcement dates and issuance of sukuk for a window of −/+5 days, which can be explained by the perception of the transfer of risk from originators to sukuk holders when companies decide to finance new projects with sukuk. The post-event increase in systematic risk can be explained because companies tend to invest liquidity in risky assets, which affects the change in capital structure and financial leverage.
The aim of the paper is to estimate the zakat of equity funds in the Saudi stock market based on ... more The aim of the paper is to estimate the zakat of equity funds in the Saudi stock market based on two fiqh rulings: the prevailing ruling that imposes zakat of trade merchandise on the value of all fund units, and the alternative ruling that links the fund zakat to the action of the fund manager in trading the fund components and whether or not zakat has already been paid on those components. The paper utilized the data of 32 equity funds on Saudi Exchange during 2021 and found that the estimated turnover ratios of equity funds support the alternative fiqh ruling. The results are preliminary as they are based on a set of assumptions to estimate the turnover ratios. Based on the results, the paper suggested four options for imposing zakat on equity funds and proposed a new formula to calculate the turnover ratio of equity funds.
The investment concept of sukuk was created as an alternative to conventional bonds since interes... more The investment concept of sukuk was created as an alternative to conventional bonds since interest-bearing instruments are prohibited under Islamic law. Sukuk (commonly referred to Islamic bonds) represent a proportional ownership of tangible assets or a pool of assets. However, the key to understanding these instruments as a financial innovation is to focus on their pricing and risk characteristics. The challenge for sukuk issuing entities becomes to provide an efficient pricing model, which is compliant with Islamic law principles. The aims of this paper are two-fold. Firstly, we explore empirically the determinants of sukuk yield spreads and we describe within a coherent empirical framework the economic implications of the links between sukuk yield spreads, stock market conditions and macroeconomic variables; Secondly, we provide a methodology for estimating the fair price of sukuk in the presence of default risk. This paper presents the first empirical study for the determinants of sukuk spreads using available data and it has several practical implications that are of value for investors, risk managers and the development of Islamic financial markets.
This paper features an application of Diebold and Yilmaz's (2009) spillover index model to as... more This paper features an application of Diebold and Yilmaz's (2009) spillover index model to assess the impact of the global financial crisis on spillovers between the bank sectors in terms of both returns and volatility time series. The spillover investigation is performed on daily return data for Islamic and conventional banks in the Gulf Cooperation Council countries for the period 2005-2015. We use a dynamic conditional multivariate GARCH to directly model the time varying spillover effects among the studied time series. This study finds a strong bidirectional returns spillover between conventional banks and a very weak spillover from Islamic banks to conventional banks, so the transmission of shocks from Islamic banks to conventional banks is reduced. It also finds that the dependence between stock returns in an Islamic bank market structure is more strongly affected by the financial crisis than in a conventional bank market. Moreover, the volatility linkage is highly affecte...
Applied Econometrics and International Development, 2016
This paper examines the contagion effect caused by the European debt crisis on the Saudi Arabian ... more This paper examines the contagion effect caused by the European debt crisis on the Saudi Arabian stock market and the effect’s spread to the real economy. Firstly, the presented analysis tests the hypothesis about the contagion effect and interdependence between the markets by means of Gregory and Hansen's co-integration in presence of structural breaks, as well as the test for common trends proposed by Stock and Watson (1988). Next, to identify the transmission channel of the European financial crisis to the Saudi Arabia real economy, we estimate a model with a dummy variable. Finally, we estimate a stylized Phillips curve to investigate the impact of the crisis on Saudi inflation rate. The empirical results indicate that Saudi Arabian stock market has been notably affected by the European crisis. The dummy variable model demonstrates that the primary transmission channel of the financial crisis to the Saudi Arabian output is international trading. In conclusion, the estimated ...
The dynamics of return and volatility spillover indices were investigated to reveal the strength ... more The dynamics of return and volatility spillover indices were investigated to reveal the strength and direction of transmission that occurred during a financial crisis. The focus of this study was especially placed on the 2007 US subprime mortgage crisis, the global financial crisis, the European sovereign debt crisis, and the dramatic collapse of oil prices since 2014. The paper uses the Diebold and Yilmaz (Economic Journal 119(534): 158-171, 2009, International Journal of Forecasting 28(1): 57-66, 2012) spillover index behavior. Assuming one structural break, return and volatility linkages for Islamic banks in the GCC were stronger than for conventional banks. When multiple breaks were allowed, the spillover index was found to be highly sensitive to various economic events. Overall, the findings of this study provide new insights into the behavior of the Islamic and conventional banks stock returns and volatility spillovers, which may improve investment decisions and the trading strategies portfolio of investors.
International Journal of Gender and Entrepreneurship
PurposeThere have been few investigations regarding the relationship of gender and role models wi... more PurposeThere have been few investigations regarding the relationship of gender and role models with students’ entrepreneurial intention (EI). The purpose of this study is to apply a conceptual framework to explain the relationship of gender and role models with the theory of planned behaviour (TPB) constructs: attitudes towards behaviour (ATB), subjective norms (SN), perceived behaviour control (PBC) and intentions.Design/methodology/approachThe study is based on data collected from a questionnaire survey completed by 1,496 freshman Saudi students enrolled during the 2016-2017 academic year in business, finance and economics undergraduate programmes. To analyse the data and test the proposed hypotheses, a confirmatory factor analysis and structural equation modelling (SEM) are applied.FindingsThe results show that the TPB constructs are validated in the specific Saudi context. In fact, these constructs were significantly related to EI. Only the SN and PBC constructs mediate the rela...
International Journal of Management Science and Engineering Management, 2013
... 5 Page 7. The present paper proposes an integrated approach that combines two dimensions cred... more ... 5 Page 7. The present paper proposes an integrated approach that combines two dimensions credit risk and fiduciary risks. The ... asset. Sukuk can be assimilated both bond and stock-like features issued to finance assets. Like ...
... Les informations comptables sont collectées sur une période de cinq ans s'étalan... more ... Les informations comptables sont collectées sur une période de cinq ans s'étalant de 1995 à ... Zeckhauser (1995) utilisent les informations publiées dans les notes des bilans comptables et montrent que les bénéfices des entreprises augmentent et les volatilités des cash-flows ...
... Slim Mseddi Institute of the Higher Business Studies (IHEC), University of Sfax Route Sidi Ma... more ... Slim Mseddi Institute of the Higher Business Studies (IHEC), University of Sfax Route Sidi Mansour, Km 10, Sfax -Tunisia E-mail: slim_mseddi@yahoo.fr Fathi Abid Faculty of Business and Economics (FSEG), University of Sfax Route de l'aéroport, Km 4.5, Sfax-Tunisia E-mail ...
The dynamics of return and volatility spillover indices were investigated to reveal the strength ... more The dynamics of return and volatility spillover indices were investigated to reveal the strength and direction of transmission that occurred during a financial crisis. The focus of this study was especially placed on the 2007 US subprime mortgage crisis, the global financial crisis, the European sovereign debt crisis, and the dramatic collapse of oil prices since 2014. The paper uses the Diebold and Yilmaz (Economic Journal 119(534): 158-171, 2009, International Journal of Forecasting 28(1): 57-66, 2012) spillover index behavior. Assuming one structural break, return and volatility linkages for Islamic banks in the GCC were stronger than for conventional banks. When multiple breaks were allowed, the spillover index was found to be highly sensitive to various economic events. Overall, the findings of this study provide new insights into the behavior of the Islamic and conventional banks stock returns and volatility spillovers, which may improve investment decisions and the trading strategies portfolio of investors.
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