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TMT, the greater the return and the higher the risks.
A possible explanation given was the low liquidity of
Ijarah-based Sukuk on the secondary market. The
number of outstanding Sukuk in Indonesia is still
relatively small, which tends to induce investors to
hold their assets until maturity. Therefore, the longer
the TMT, the greater the risk (additional liquidity
risk), but with a lower return (HPY).
Another important point is the finding on the
Mudharabah-based Sukuk. By using YTM to
measure return, the longer the TMT, the higher the
return, but the lower the risk. If we follow the basic
rules of investment, the longer the time to maturity,
the higher the return and the risk will be. A possible
explanation towards this anomaly is the composition
of listed Sukuk issuers used as research objects. Most
of the long-term Mudharabah-based Sukuk comes
from SOE issuers that use the value of the contract of
work as the basis for profit sharing. The SOE issuers
are considered to have smaller risk than the issuers
from the private sector. Meanwhile, the shorter term
of the Mudharabah-based Sukuk comprises a mixture
of types of issuers. In addition, the type of income that
is used as revenue-sharing basis is a mixed income or
operating profit. Thus, the level of uncertainty for this
type of Sukuk is relatively higher as opposed to the
longer term Sukuk.
4 CONCLUSION
This study provides evidence towards two different
types of Sukuk in Indonesia. We found that in terms
of return and risk, the Ijarah-based Sukuk differs
significantly from the Mudharabah-based Sukuk.
The Ijarah-based Sukuk shows higher return
performance than Mudharabah-based Sukuk. In
terms of risk, the Ijarah-based Sukuk also shows
higher risk than the Mudharabah-based Sukuk. These
findings contrast basic investment theory, in which,
based on the characteristics, the Mudharabah-based
Sukuk should have higher return and risk than Ijarah-
based, since it is an equity-based investment.
In more detailed investigations, we found several
anomalies: (1) on the Ijarah-based Sukuk, the longer
the TMT, the lower the return (HPY), but the higher
the risk of HPY; (2) on the Mudharabah-based
Sukuk, the longer the TMT, the higher the return, but
the risk decreases. These anomalies are possibly due
to the fact that most of the Mudharabah-based Sukuk
traded in Indonesia are using project revenue
(contract) as the profit-sharing basis, with a fixed
contract value until the end of the contract period. The
majority of the Mudharabah-based Sukuk issuers are
SOEs. Meanwhile, the number of existing Ijarah-
based Sukuk is still relatively small, which in turn
makes the investment hold up to maturity.
However, those results still need to be evaluated
further, for instance by lengthening the observation
period. That might have been a limitation in this
study. We also suggest that further research compare
between the Mudharaba-based Sukuk and the Ijarah-
based Sukuk that are issued by SOEs and private
companies in order to get a thorough understanding
on this issue. Investigating the variables that cause
differences in both types of Sukuk will also be
interesting to explore in future studies.
ACKNOWLEDGMENT
We would like to thank Else Fernanda, SE., M.Sc. for
his input on this research result from the practitioner's
point of view. Also to Dr. Intan Nurul Awwaliyah
who is willing to become a peer review of this article.
Suggestions from both are very meaningful in this
article.
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