Figure 12.
The six panels are labelled a to f display wavelet coherence between C P U index and D J S U K U K, I S L A 1 V, I S L A 5 V, I S L A 5 A V, S B K U and S B K B U indices. The horizontal axis shows years from 2011 to 2024, and the vertical axis shows a scale from 4 to 1024. Regions of higher coherence appear as highlighted zones concentrated mainly at mid to large scales around 2014 to 2018 and intermittently after 2020. Lower coherence dominates higher frequency regions. Each panel shows similar patterns with varying intensity across indices.Continuous wavelet transform correlation of CPU versus six sukuk indices (2011–2024)
Note(s): The region above the cone of influence (defined by the parabola in gray color) shows the statistically significant areas in the scalogram. DJSUKUK Index is Dow Jones Sukuk Price Return Index; followed by three Malaysian Corporate Credit Islamic-type papers with remaining maturities, respectively, greater than one year (ISLA1V), of one to five years (ISLA5V Index) and greater than five years (ISLA5AV Index); SBKU Index is FTSE Ideal Ratings Sukuk Index; SBKBU Index is FTSE Ideal Ratings Broad US Dollar Sukuk Index, in USD terms
Source: Authors’ own work; see data section for sources