Understanding Sukuk Yield and Investor Risk Analysis Assignment Sample

Introduction

The data analysis is one of the most effective parts that has conducted a valuation of the proper relationship among each variable based on the accumulated value. The valuation of the data and information has been required in which, it has needed to conduct the two significant tests as descriptive statistics and normal regression model. The valuation of the needed variables in this research is as "yield (IMBAL), Maturity of Sukuk (MOS), Sukuk Rating (RS), and Sukuk Emission Value (NES)". The implication of the conducted research has the proper accumulation that can help in analyzing the data and information in an appropriate manner with the required correlation among each variable in an appropriate way. The viability of the risk that is taken by the investor is identified with the value of the Sukuk yielded and the more the rating of the Sukuk depicts that the investor will be receiving less amount on the issuance. Therefore the Companies that are identified to be with a low rate of Sukuk tend to provide maximum and higher returns for the purpose of attracting the investor's wing to the compensation associated with a higher rate of risk.

The valuation of each factor has the required statement that makes an effect in analyzing the data from the "Indonesia Stock Exchange (IDX)" and makes an impact on analyzing the required data from 2000 to 2022. The required integration on the valuation of each test has the critical description of understanding the required relationship among each aspect in an appropriate way.

Data analysis

Descriptive statistical tests and normal regression tests have been conducted over each variable based on the valuation of each state in an appropriate way. The use of the proper regression test has an effective valuation in terms of analyzing the impact of the dependent variable on the independent variables. The required statement and valuation of the descriptive and regression test have the critical implication of analyzing the variable range in an appropriate way.

Descriptive statistical test

The descriptive test has been conducted on each variable and the below table shows the required data that has been analyzed after the test. It has effectively described the major implication of understanding the major ranges in the overall stated and collected data in an appropriate way.

Table 1: Descriptive statistics on the "yield (IMBAL), Maturity Of Sukuk (MOS), Sukuk Rating (RS), and Sukuk Emission Value (NES)"

The use of the required data valuation on each variable has been clearly stated in each aspect and has reflected on the entire variables in an appropriate way. The total range for each variable has been analyzed as 251, which is a description of the time as the data has been collected from 2000 to 2022. The valuation of descriptive statistics shows the mean-variance value for every four variables (Slob and Burgess, 2020). The mean and standard error for the yield (IMBAL) has been evaluated as 3100.982 and 130.2664 respectively. The valuation of the standard deviation and variance has also been the required factor that has been evaluated under descriptive statistics. The evaluated value for the standard deviation and variance on the yield has been evaluated as 2063.808 and 4259302 respectively.

Moreover, it has also included the "Skewness and Kurtosis" test that required reflection on analyzing each factor in an appropriate way. The value of skewness with the standard error has been evaluated as 0.07 and 0.154 respectively. On the other hand, the value of kurtosis on the yield variable has been evaluated as -1.489 and 0.306 respectively. The statistical value of the kurtosis shows the negative balance and makes integration show the ineffective position in an appropriate manner.

On the other hand, the value for the mean and standard error for the Maturity Of Sukuk (MOS) has been also evaluated as 4.8 and 0.091652 respectively. The value of the standard error over the mean-variance has a critical implication as it has properly accumulated the variance value based on the stated data in an appropriate way (Zhao et al. 2020). On the other hand, the minimum and maximum values for the maturity of Sukuk (MOS) have been evaluated as 2.3 and 7.3 respectively. The implication of the maximum and minimum value on the overall variables states that all the aspects included in the variable are between these terms. The valuation of the mean and standard deviation for the MOS has been evaluated as 4.8 and 1.45 respectively. The analysis of values for skewness and kurtosis has been analyzed based on the overall data between 2000 and 2022 are 0 and -1.2 respectively. The valuation of each factor on the descriptive shows the required valuation in terms of the respected negative and positive values. 

The valuation of the Sukuk rating (RS) in the descriptive statistical test has a critical reflection on showing each factor as it has effectively evaluated the value of the "mean, maximum, minimum, standard deviation and variance" value in an appropriate way. The value of mean and standard deviation value for the Sukuk rating has been evaluated as 1.03 and 6.12 respectively. The stated valuation of each factor integration has the most effective implication that has been shown in reflecting the value in an appropriate way (?ahin and Aybek, 2019). The value of skewness and kurtosis for the RS has been evaluated as 0.07 and -1.49 respectively. The value of kurtosis reflects the negative value that states the ineffective value of the Sukuk rating.

The valuation of the "Sukuk emission rating" has been effectively analyzed with the required integration of each state in an appropriate way. The value of each stated factor in terms of the mean, standard deviation, skewness and kurtosis has been evaluated as 2.87, 4.06, 2.75 and 9.87 respectively. The valuation of each stated factor range has a clear integration of analyzing the required perspective and valuation in an appropriate manner.

Normal regression test

The implication of the normal regression test has the clear description that can help in stating each range in terms of the "R-square value, significance level, regression, coefficient and residual statistics' ' in an appropriate way (Love et al. 2019). The valuation of these factors has been clearly started under the linear regression value.

Figure 1: R-squared value Regression valuation

The normal regression model has clearly stated the value of the R-square that has been clearly shown in the above figure as the required description of the value has been shown. The valuation of the R-square has a clear reflection on showing the exact aspect and relationship between the dependent and independent variables (Bustani et al. 2022). The stated valuation of the dependent and independent variables has a clear indication of showing the values in an appropriate way. The value of the R-square has been anlysed as 0.935 and the adjusted R-square value is 0.934. The required valuation of the R-square value is more than 0.5 which shows a strong relationship and has a major effect on the dependent variables. The valuation and proper integration of the stated factors have needed to imply all the factors that show the relationship in an appropriate way.

Figure 2: Anova value in Regression valuation

The valuation of the required normal regression model has a clear reflection on analyzing the significant value as well. The valuation of the integrated changes in the relationship has to be evaluated with the proper valuation of the significant value in an appropriate way (Lüdecke et al. 2021). The significant level is zero on the dependent variable yield and another independent variable as "Sukuk Emission Value (NES), Sukuk Rating (RS), Maturity Of Sukuk (MOS)".

Table 2: Coefficients valuation in Regression test

The coefficient valuation includes the proper estimation of the beta value for each independent variable. The valuation of the beta value of the MOS, RS and NES is -.968, 0, and 0.016 respectively. The stated value of the beta has a lower value of -0.968 that is for the maturity of Sukuk.

 Table 3: Residuals Statistics in Regression test

The valuation of the residual statistic has been also accumulated under the regression test. The valuation of the regression test has effectively provided the range for the residual (Jakobsen and Mehmetoglu, 2022). The accumulated value for the residual has been analyzed and represents the mean and standard deviation value as 0 and 1 respectively. The valuation of the mean and standard deviation has the required implication of showing the stated range in an appropriate way.

Discussion

Descriptive statistical test

The overall data valuation has helped in analyzing the proper result in terms of accumulating the range and relationship among each variable in an appropriate way. Proper use of the descriptive statistical test and regression test has the effective implication on properly showing the relationship among them. Valuation of the descriptive statistic has a clear reflection on showing the major relationship between each aspect of the variables (Washington et al. 2020). The descriptive valuation has a clear implication in terms of showing the adequate position based on the standard deviation value. The proper accumulation of the data range for the standard deviation has the most effective range for MOS "maturity of Sukuk" and the value is closer to the moderate range as compared to the other variables.

Impact of the covid-19 has been another major reason that has made an effect on the changes in the data. The impact of the covid-19 has reduced the overall work valuation in the Sukuk and made effect in terms of the huge loss as well (van et al. 2021). The valuation of the stated range has a clear implication on showing the value by the use of the Kurtosis as each of the variables has the required position except yield. The value of yield shows a negative value which is effective as compared to others. 

Normal regression test

On the other hand, the valuation and description of the regression model have clearly stated the relationship between the dependent and independent variables. The value of the stated facts in terms of accumulating the required range of variables position has a clear indication in an appropriate manner (Saputra, 2022). Changes in the ranges of the regression factors have been effectively analyzed based on the valuation and preparation of the histogram. Changes in the required price range of the Sukuk due to the financial crisis in 2008 have been a major reason that has made an effect on reducing the mean value in the regression test. The valuation of the standard error in the regression analysis on the dependent variable as yield and others has been stated as independent variables. The required valuation of the standard deviation shows a moderate range and makes a reflection on showing the positive relationships among the dependent and independent variables [Refer to appendix].

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Conclusion

It has effectively concluded the prior data analysis based on the effective implication of each variable in an appropriate way. The valuation of the stated data range has been taken from the year 2000 to 2022. The overall maturity of the Sukuk is measured right from the inception and length of the Sukuk date. Moreover, the Sukuk maturity has a stipulated time period of around that is a minimum of 1 year and the maximum stipulated tenure that is assigned is 12 years. The Sukuk has a significant impact on the yielding value of the Sukuk. The positive relationship depicts that there is a lower value of rating for the Sukuk. On the contrary, the negative bond is an example of the higher ratings of the Sukuk existing within. The valuation of the proper relationship between each variable has been starting with the use of descriptive and regression analysis. The value of standard deviation in the regression model has been evaluated as 0.994 and the mean value is -6.61 which shows the required relationship between each variable in an appropriate way.

The use of the normal regression model has a critical aspect in terms of providing the major relationship and impact of the Sukuk maturity on the other three variables as "yield (IMBAL), Sukuk Rating (RS), and Sukuk Emission Value (NES)". On the other hand, proper conduction of the descriptive test has the critical implication of conducting the result based on the accumulation of the required mean median and mode value of each variable in an appropriate way. Proper discussion of each result has been effectively discussed which can help in evaluating outcomes in an appropriate manner. The valuation and implications of the required changes in the value of the variable have a critical description and proper discussion in an appropriate way.

Reference

Bustani, B., Khaddafi, M. and Ilham, R.N., 2022. Regional Financial Management System of Regency/City Regional Original Income In Aceh Province Period Year 2016-2020. International Journal of Educational Review, Law And Social Sciences (IJERLAS), 2(3), pp.459-468.

investing.com. (2022) idx composite historical data. Available at: https://in.investing.com/indices/idx-composite-historical-data?end_date=1606761000&interval_sec=monthly&st_date=946665000 [Accessed on: 21st December 2022]

Jakobsen, T.G. and Mehmetoglu, M., 2022. Applied statistics using Stata: a guide for the social sciences. Applied Statistics Using Stata, pp.1-100.

Love, J., Selker, R., Marsman, M., Jamil, T., Dropmann, D., Verhagen, J., Ly, A., Gronau, Q.F., Šmíra, M., Epskamp, S. and Matzke, D., 2019. JASP: Graphical statistical software for common statistical designs. Journal of Statistical Software, 88, pp.1-17.

Lüdecke, D., Ben-Shachar, M.S., Patil, I., Waggoner, P. and Makowski, D., 2021. performance: An R package for assessment, comparison and testing of statistical models. Journal of Open Source Software, 6(60).

?ahin, M. and Aybek, E., 2019. Jamovi: an easy to use statistical software for the social scientists. International Journal of Assessment Tools in Education, 6(4), pp.670-692.

Saputra, F., 2022. Analysis of Total Debt, Revenue and Net Profit on Stock Prices of Foods And Beverages Companies on the Indonesia Stock Exchange (IDX) Period 2018-2021. Journal of Accounting and Finance Management, 3(1), pp.10-20.

Slob, E.A. and Burgess, S., 2020. A comparison of robust Mendelian randomization methods using summary data. Genetic epidemiology, 44(4), pp.313-329.

van de Schoot, R., Depaoli, S., King, R., Kramer, B., Märtens, K., Tadesse, M.G., Vannucci, M., Gelman, A., Veen, D., Willemsen, J. and Yau, C., 2021. Bayesian statistics and modeling. Nature Reviews Methods Primers, 1(1), pp.1-26.

Washington, S., Karlaftis, M., Mannering, F. and Anastasopoulos, P., 2020. Statistical and econometric methods for transportation data analysis. Chapman and Hall/CRC.

Zhao, Q., Wang, J., Hemani, G., Bowden, J. and Small, D.S., 2020. Statistical inference in two-sample summary-data Mendelian randomization using robust adjusted profile score. The Annals of Statistics, 48(3), pp.1742-1769.

References

Devi, S., Warasniasih, N.M.S., Masdiantini, P.R. and Musmini, L.S., 2020. The impact of COVID-19 pandemic on the financial performance of firms on the Indonesia stock exchange. Journal of Economics, Business, & Accountancy Ventura, 23(2), pp.226-242.

Herwany, A., Febrian, E., Anwar, M. and Gunardi, A., 2021. The influence of the COVID-19 pandemic on stock market returns in Indonesia stock exchange. The Journal of Asian Finance, Economics and Business, 8(3), pp.39-47.

Irman, M. and Purwati, A.A., 2020. Analysis on the influence of current ratio, debt to equity ratio and total asset turnover toward return on assets on the automotive and component company that has been registered in Indonesia Stock Exchange Within 2011-2017. International Journal of Economics Development Research (IJEDR), 1(1), pp.36-44

Appendix: Histogram from Regression test