THE BEHAVIORS OF CONVENTIONAL AND ISLAMIC BONDS IN MALAYSIA DURING COVID-19
DOI:
https://doi.org/10.24191/jipsf.v7i2.7488Keywords:
COVID-19, Cointegration, Sukuk, BondAbstract
The study empirically examines the behaviors of short-term and long-term bonds in Malaysia for both conventional and Islamic during the COVID-19 crisis. The relationship between short-term and long-term interest rate yields is tested using the Johansen and Juselius cointegration technique based on Expectation Theory. These non-stationary time series models of cointegration analysis are employed upon weekly data from April 1, 2020, to December 29, 2021. Three different maturities of bonds analyzed in the study are three-month, three-year, and ten-year bonds. The results display that cointegration exists between the two long-term bonds, namely three-year and ten-year, for both conventional and Islamic. This information is imperative for policymakers and retail investors in understanding the reaction and performance of bonds in Malaysia, specifically during the COVID-19 crisis. The insight could provide input and assist in making more viable investment decisions.
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