Purpose

This study investigates the presence of portfolio diversification benefits for South African, Nigerian, Ghanaian and Kenyan fixed-income investors diversifying bond portfolios in the Malaysian sovereign Sukuk market.

Design/methodology/approach

The paper uses wavelet coherence and a multivariate generalized autoregressive conditional heteroscedastic (GARCH) model. The data cover the period from September 2013 to January 2019.

Findings

The findings obtained from the wavelet coherence model reveal evidence of portfolio diversification opportunities for African fixed-income investors in the Malaysian sovereign Sukuk market. These opportunities are more significant in the short- and medium-term investment horizons than in the long-term. Also, the results of multivariate GARCH show that the Malaysian Sukuk market has a negative unconditional correlation with the South African bond market, signifying better diversification benefits for these investors.

Practical implications

The findings have implications for both fund managers and investors intending to include Sukuk in a diversified portfolio to reduce their risks and maximize their return from bonds.

Originality/value

To the best knowledge of the authors, this is the first study to examine the opportunities for African investors in the Malaysian Sukuk market.

中文翻译：

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多元化的力量：非洲固定收益投资者是否有机会进入马来西亚的回教债券市场？

目的

这项研究调查了马来西亚主权伊斯兰债券市场上南非，尼日利亚，加纳和肯尼亚固定收益投资者的投资组合分散收益的存在。

设计/方法/方法

本文使用小波相干和多元广义自回归条件异方差（GARCH）模型。数据涵盖了从2013年9月到2019年1月的时间段。

发现

从小波相关模型中获得的发现揭示了马来西亚主权伊斯兰债券市场上非洲固定收益投资者的投资组合多元化机会的证据。与中长期相比，这些机会在短期和中期投资范围内更为重要。同样，多元GARCH的结果表明，马来西亚回教债券市场与南非债券市场具有负无条件相关性，这意味着这些投资者可以获得更好的多元化收益。

实际影响

该发现对打算将Sukuk纳入多元化投资组合的基金经理和投资者均具有意义，以降低风险并最大程度地提高债券收益。

创意/价值

据作者所知，这是第一个研究非洲投资者在马来西亚回教债券市场中的机会的研究。