Volatility behavior of sukuk market: An empirical analysis of the dow jones citigroup sukuk index

The aim of the study is to examine the volatility behavior of sukuk market under consideration of structural breaks. The Dow Jones Citigroup Sukuk Index (DJCSI) for the period 2007-2011 is used as a proxy of global sukuk market. The main finding indicates that structural breaks significantly alter the volatility behavior of sukuk. It indicates that the volatility during pre-crisis and contemporaneous period is more sensitive to market events compared to the post-crisis period. The findings imply that in order to realize more rational and efficient sukuk market, the needed policies are greater transparency, information disclosure and better incentives to attract investors to increase their trading activities in the secondary market. Future research might develop a risk-return forecasting model incorporating the volatility behavior of sukuk market.