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Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings
Journal of Investment and Management
Volume 5, Issue 6, December 2016, Pages: 158-165
Received: Sep. 6, 2016; Accepted: Sep. 29, 2016; Published: Oct. 31, 2016
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Syazwani Abd Rahim, Faculty of Economics and Muamalat, Islamic Science University of Malaysia (USIM), Negeri Sembilan, Malaysia
Nursilah Ahmad, Faculty of Economics and Muamalat, Islamic Science University of Malaysia (USIM), Negeri Sembilan, Malaysia
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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.
Sukuk Ratings, Event Study, Asymmetric, FTSE KLCI, CAAR
To cite this article
Syazwani Abd Rahim, Nursilah Ahmad, Investigating FTSE KLCI Using CAAR Estimations Following Sukuk Announcement in Malaysia: Based on Sukuk Ratings, Journal of Investment and Management. Vol. 5, No. 6, 2016, pp. 158-165. doi: 10.11648/j.jim.20160506.19
Copyright © 2016 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License ( which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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