Asymmetric Effect of Sukuk Returns on Economic Growth-Evidence from Indonesia, a NARDL Perspective
Ousman Jallow (a) Foday Joof (a)
(a) Universitas Airlangga, Faculty of Economics and Business, Department of Accountancy, Surabaya Indonesia
(b) Near East University, Faculty of Social Sciences, Department of Banking and Finance, Northern Cyprus
Abstract
This paper aims to examine the asymmetric effect of sukuk returns on Indonesian economic growth, a non-linear autoregressive distributed lag (NARDL) model and Granger causality test are employ from the periods 2018:02 to 2019:04, using GDP Growth as a proxy of economic activities, Indonesia sukuk composite return index and price index as explanatory variables. The study revealed a non-asymmetric association amid economic growth and sukuk return. The finding of the study suggest that 1% negative shock in sukuk returns will results to a downturn shift in GDP growth by 2.4% and 1.5% in the short and long-run respectively. However, both positive shock on sukuk returns and price are reported to have an insignificant association with economic growth. The outcomes from the Granger causality analysis suggest that there is a unidirectional causal association moving from economic growth to sukuk returns, while a neutral relationship is found between sukuk price and economic growth. The outcome of the study is expected to be useful to stakeholders in terms of investing, formulating and implementing better constructive and sound policies.
Keywords: Sukuk Return Index, Sukuk Price Index, Economic Growth, GDP, Indonesia and NARDL.
Topic: Sukuk