International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Examining the Economic Predictive Power of the Sukuk Yield spread: Evidence from the Iranian Financial Market

Document Type : Original Article

Authors
Saeed Masoudi 1
gholamreza mahfoozi 2
Seyed Mozafar Mirbargkar 3
1 Ph.D. students, Department of Business Administration, Rasht Branch, Islamic Azad University, Rasht, Iran
2 Assistant professor, Department of Economics and Accounting, university of Guilan, Rasht, Iran.
3 Assistant professor, Department of Business Administration, Rasht Branch, Islamic Azad University, Rasht, Iran.
10.30495/ijfma.2024.76449.2086
Abstract
The yield spread is a tool for predicting economic growth or recession that has garnered considerable attention in both developed and developing countries. The yield spread refers to the difference between the yields of long-term and short-term securities.This research aims to explain the Power of sukuk yield spread to predict Iran's GDP growth. For this purpose, data from 90 trading days of both corporate and government sukuk in the Iran Fara Bourse from the year 2015 (1394 Hijri) to the first half of 2022 (1401 Hijri) were examined and researched. The GDP growth data compared to the same season in the previous year, termed Quarterly growth rate, was compared with various yield spreads of long-term and short-term Sukuk. The yield spread of 4-year and 6-month sukuk (4y-6m) was selected as the appropriate spread to predict real GDP growth.The equation for predicting economic activities for the next 3 quarters based on the 4y-6m spread of the current quarter was designed using a linear regression model and optimized by the ordinary least squares (OLS) method. The results showed that the yield spread of sukuk (4y-6m) with the coefficient of determination (R2=0.10) and the correlation coefficient r=0.317 can predict the next 3 quarters of Iran's GDP.
Keywords
sukuk
Economic Predictive
Yield Spread
Fixed Income securities
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