رابطهٔ بین ریسک‌های ساختاری و بازدهی موردانتظار صکوک

ﺻﮑﻮک، اوراق ﺑﻬﺎدارﻣﺎﻟﯽ اﺳﻼﻣﯽ مبتنی بر ﻗﻮاﻧﯿﻦ اﺳﻼﻣﯽ است و مهمترین تفاوت آن با اوراق ‌قرضه نوع و قرارداد دارایی‌پشتوانه‌ مبتنی بر قوانین شریعت است. ریسک‌های ناشی از قوانین شریعت و دارایی‌پشتوانه‌ ریسک‌های مختص صکوک است که ناشی از ساختار طراحی صکوک، ارزش فعلی جریانهای‌نقد اوراق را تحت تاثیر قرارمی‌دهند و عوامل ساختاری ریسک نامیده می‌شوند. در این مطالعه عوامل ساختاری به دو دسته‌ی ساختارمالی و ساختار دوره‌زمانی تقسیم شده‎‌اند. بر اساس ساختارمالی، مطالعه برای دو دسته صکوک مبتنی‌بردارایی و صکوک مبتنی‌بربدهی انجام و بر اساس عامل دوره‌زمانی، صکوک به دو دسته‌ی صفر تا 3 سال و 3 تا 5 سال در ایران تقسیم‌شده‌اند. با استفاده از مدل‌های تحلیل عاملی و روش رگرسیون خطی، ارتباط عوامل ریسک‌ساختاری و بازده مورد انتظار برای صکوک منتشره و مبادله شده در بازار سرمایه از سال 1391 تا 1400 بررسی شده‌است. مطابق نتایج، عامل ساختاری دوره‌زمانی معنادار است. همچنین ریسک عامل ساختارمالی معنا‌دار اما برخلاف انتظار، ریسک صکوک مبتنی‌بر‌دارایی بیشتر از صکوک مبتنی‌بر‌بدهی است. متوسط دوره عمرصکوک مبتنی‌بر‌دارایی 3.8 سال و صکوک مبتنی‌بر‌بدهی 3 سال است بنابراین به‌نظر می‌رسد عامل ساختار مالی تحت تاثیرعامل ساختارزمانی قرار‌گرفته، لذا معناداری عامل ساختاری‌ مالی متاثر از عامل ساختاری دوره‌زمانی است.

the relationship between structural risk and expected return of sukuk

sukuk is the most important islamic financial securities designed based on islamic laws, and the relationship between risk and return is the most basic concept in islamic finance. the results of examining and comparing the similarities between bonds and sukuk show that the most important difference between these two financing tools is the type of asset backed by sukuk and the type of asset contract based on shariah laws. therefore, the risks arising from the laws of sharia and property are the risks specific to sukuk, and the design structure of sukuk is directly affected by these two risks, so the structural factors are defined as factors that affect the current value of cash flows of bonds due to the influence of the design structure of sukuk. they give. based on the design structure of sukuk, in this study structural factors are divided into two categories: financial structure and life time structure. the financial structure factor is defined as two structural factors due to the type of connection of the underlying asset in financing through sukuk and the life time factor due to the effect on the current value of cash flows resulting from the change in the value of the underlying asset and the benefits derived from it. according to the classification of sukuk based on the financial structure, this study has been done for two categories of asset-based bonds and debt-based bonds, and these bonds are divided into two categories of zero to 3 years and 3 to 5 years sukuk based on the life time factor in iran is divided. then, by using factor analysis models and linear regression method, the relationship between risk factors affected by the structure of sukuk design and the expected return for sukuk issued and traded in the capital market from 1391 to 1400 has been investigated. the results based on the expected return model confirm that in the iranian capital market, the structural factors of the time period are significant in the return of sukuk and the risk of sukuk with a longer period of time is more than the risk of sukuk with a short period of time. examining the financial structure factors shows that the risk of the financial structure factor is significant, but contrary to expectations, the risk of asset-based sukuk is more than that of debt-based sukuk. the investigation of the causes of the issue shows that since the average life period of asset-based sukuk is 3.8 years and the average life time of debt-based sukuk is 3 years, so it seems that the factor of financial structure is influenced by the factor of time structure. therefore, the significance of the financial structural factor is affected by the structural factor of the time period.