SUKUK MARKET STABILITY AND RESILIENCE IN SUSTAINABLE FINANCE: COMPARATIVE EVIDENCE FROM SOVEREIGN AND CORPORATE SUKUK INDICES IN INDONESIA
DOI:
https://doi.org/10.18623/rvd.v23.7962Keywords:
Sukuk, Sovereign Sukuk, Corporate Sukuk., Sustainable Finance, Financial Stability, Macroeconomic Fluctuations, Ardl, Islamic Capital MarketAbstract
The growing role of sukuk as a sustainable finance instrument in Indonesia has heightened the need for comparative empirical evidence on the stability and resilience of sovereign and corporate sukuk markets amid macroeconomic fluctuations. This study examines the financial stability and resilience of sovereign and corporate sukuk indices in Indonesia amid macroeconomic fluctuations during the period February 2015 to September 2025. Using monthly time-series data, this study employs Autoregressive Distributed Lag (ARDL) and Error Correction Model (ECM) approaches to analyse the long-run and short-run relationships between sukuk indices and selected macroeconomic and global variables, including inflation, the BI rate, exchange rate, gold prices, bond index performance, Credit Default Swap (CDS), US bond yields, and crisis conditions. The findings reveal strong cointegration, indicating stable long-run relationships between the sukuk indices and their determinants. Both indices are consistently influenced by bond market performance, reflecting a close linkage between sukuk and conventional bond markets. In the long run, sovereign sukuk performance is primarily driven by sovereign risk perception, proxied by CDS, while corporate sukuk is more sensitive to exchange rate movements. In the short run, increases in the policy rate (BI rate) and crisis shocks exert significant negative effects on corporate sukuk, whereas inflation, gold prices, and CDS generate temporary effects on sovereign sukuk. Both indices exhibit rapid adjustment toward long-run equilibrium, with error correction speeds exceeding 99%, confirming effective market correction mechanisms and substantial resilience to macroeconomic shocks. These findings affirm that a stable and resilient sukuk market constitutes an empirical prerequisite for deepening Indonesia's sustainable finance ecosystem, with differentiated implications for investors, issuers, and policymakers in managing sovereign and corporate sukuk risk.
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