التكامل الاقتصادي
Volume 13, Numéro 3, Pages 43-62
2025-09-30

Investigating The Asymmetric Effects Of Global Economic Factors On Sukuk Returns: A Nardl Perspective



Authors : Tchouar Ilhem . Goual Zouaouia Imene .

Abstract

This study examines the asymmetric impact of the global economic factors, specifically the U.S. Dollar Index (DXY), Shariah compliance risk (HQR) and credit risk (SMB) on the Dow Jones Sukuk Total Return Index (ex-Reinvestment) using the NARDL approach. Daily observations (March 2015 to March 2025) reveal significant long-run cointegration and short-run asymmetries. Findings indicate that Shariah compliance risk asymmetrically reduces Sukuk returns, reflecting acute investor sensitivity to compliance deviations. On the other hand, U.S. dollar fluctuations show limited long-run effects but short-run asymmetry during dollar weakening, underscoring Sukuk resilience to currency volatility. The Credit risk exerts statistically significant but economically modest influence. The model’s explanatory power confirms that intrinsic faith-based drivers dominate global macroeconomic factors in Sukuk performance. The study advocates enhanced Shariah governance, dynamic risk management, and secondary market development to strengthen Islamic finance integrity and investor confidence.

Keywords

Sukuk Returns ; Asymmetric Effects ; Shariah Compliance Risk ; U.S. Dollar Index ; NARDL Model

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