Abstract
This paper studies the time–frequency co‐movement among Islamic bond (Sukuk) prices, the recent spread of COVID‐19, oil prices, economic policy uncertainty, global financial uncertainty, and global financial distress. The Dow Jones Sukuk Index (hereafter DJSI) is used as a proxy of the global Sukuk market. The Malaysian Sovereign Sukuk index is also used for comparison purposes because Malaysia maintains a leading position as the strongest global player in Islamic finance. The effect of global risk and uncertainty factors on Sukuk prices is controlled for using partial wavelet coherency. The empirical results indicate that the co‐movements between the Sukuk prices (both global and Malaysian Sukuk) and global economic and financial risk factors are time and frequency varying. We also find that global and Malaysian Sukuk markets behave differently with global risk factors throughout the COVID‐19 pandemic period. Furthermore, we find that the co‐movement between Sukuk prices (both global and Malaysian Sukuk) and COVID‐19‐infected cases is stronger only in the short term.