Islamic Economics Studies Bi-quarterly Journal

An Analysis of the Hedging Capability of Iran’s Stock Market in the International Sukuk Market

Document Type : Research Paper

Authors

1 Phd Student in Financial Economics, Faculty of Islamic Studies and Economics, Imam Sadiq (a.s) University, Tehran, Iran.

2 Assistant Professor, Faculty of Economics, Kharazmi University, Tehran, Iran.

10.30497/ies.2025.243354.2109

Abstract

One of the most important achievements of the last decade in the field of Islamic finance is the issuance of various Islamic securities called sukuk. One of the important features of Sukuk is the low risk of these securities compared to other securities and other financial markets. Therefore, sukuk can be a good tool for risk management. In this study, this feature of international Sukuk and its application ie Investor Hedging Potential in Petroleum products industry of Iran's Stock Market has been emphasized; The specific question of this research is to investigate the risk hedging of this industry using the international Sukuk market .Then the types of spillover effects between the returns of these two indicators are tested separately for different types of international Sukuk maturities using Asymmetric BEKK VAR-MGARCH model. Finally, using the daily data of the last 8 years, ie from 2013 to 2020, the optimal weight of international Sukuk is calculated separately by maturity to minimize the risk of the domestic investor portfolio. Optimal weight of international Sukuk by separate maturity is calculated Dynamically to minimize the risk of the domestic investor. The results show that past shocks and conditional fluctuations of each market have a more important role on themselves than the spillover effects between these two markets; Also, investing in short-term Sukuk 1 to 3 years compared to long-term Sukuk, has a more appropriate capacity to diversify the investment portfolio in the petroleum products industry and can reduce the risk of the entire domestic investor.

Keywords

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Islamic Economics Studies Bi-quarterly Journal
Volume 16, Issue 1 - Serial Number 31
November 2025
Pages 79-112