Syazwani Abd RahimNursilah Ahmad2024-05-282024-05-28202019/2/20212289-6937https://www.mfpc.org.my/wp-content/uploads/JWMFP/2020/OR4.pdfhttps://oarep.usim.edu.my/handle/123456789/5105The sukuk market in the Islamic capital market has undergone significant evolution and development. During the 2008 global financial crisis, the deteriorating economic condition of countries, especially Malaysia as the biggest sukuk market in the world, adversely affected the value of sukuk investments. The decrease of 33 per cent in total global sukuk issuance after the 2008 crisis generated a complicated situation among sukuk investors (classified sukuk as a risky investment), then increased the number of sukuk defaults. The high volatility affected long-term efficiency. The daily data of all indices are collected from Dow Jones Sukuk Indices (1-3years, 3-5 years, 5-7 years, and 7-10 years). This research investigates the types of sukuk market efficiency before, during and after the 2008 global financial crisis utilising the GARCH-in-Mean (GARCH-M) model. The analyses are based on the Efficient Market Hypothesis (EMH) and the Random Walk model. The results conclude that the sukuk index with a long-term tenure (DJSUK10TR) is the best market performance analysis. Overall, the sukuk market record as an inefficient market. In short, the findings will provide valuable information, guidelines and give confidence to issuers, policymakers, regulatory bodies, and investors to invest in and issue sukuk. The empirical contributions in this study show the importance of sukuk to encourage investors to invest in sukuk to increase economic growth and investment.en-USsukuk, market efficiency, sukuk indices, tenures, GARCH-MArticle52707