راهبردهای های سرمایه گذاری با تعادل دوباره Investment strategies with rebalancing: How could they serve Sukuk secondary market?

1. Introduction According to the Accounting and Auditing Organization for Islamic Financial Institutions, Sukuk are defined to be investment certificates representing an undivided property in a tangible asset or in a well-defined project. Their market is currently dominating the Islamic financial industry. Indeed, in the third quarter of 2016, the Sukuk market reached a total issuance of $ 39.8 billion and a total outstanding amount of $ 368.2 billion. Thus, Sukuk represent a share of 17% of Islamic finance assets. They hold the second position after the Islamic banking sector (Thomson Reuters, 2016). Sukuk market is the fastest growing field in the Islamic financial services industry with an increase of about 20% per year over the period 2008e2014 (Naifar, Mroua, & Bahloul, 2017; Reboredo & Naifar, 2017; Smaoui & Nechi, 2017). However, the development of the Sukuk market still faces several challenges, such as the “Buy and Hold” effect (Godlewski, Turk-Ariss, & Weill, 2010; Jobst, Kunzel, Mills, & Sy, 2008; Siddiqui, 2008). This is due to the fact that the majority of Sukuk holders held them to maturity (Zulkhibri, 2015). The “Buy and Hold” effect, which consists in the purchase of an asset and keeping it to maturity, represents a dominant behavior of investors. This passive strategy is called a “Buy and Hold” strategy. Generally speaking, it is a long-term investment choice based on a bullish market forecast (Barberis, 2000; Fernandez-Rodrıguez, Gonzalez-Martel, & SosvillaRivero, 2000; Shiryaev, Xu, & Zhou, 2008). For an investor, this strategy is not a problem per se if it reflects its intention to manage a particular asset. Once we consider an asset portfolio, this strategy may have undesirable effects (Willenbrock, 2011). Indeed, the allocation of assets differs from the initial allocation following market fluctuations. The resulting portfolio may differ from the investor’s risk profile represented by the weight of each asset in the portfolio. Thus, portfolio adjustments should be made if the investor intends to maintain its risk profile (Willenbrock, 2011). At market level, the majority of investors’ adherence to this strategy freezes transactions in the secondary market (Jobst et al., 2008; Siddiqui, 2008). As a result, several consequences related to asset liquidity are generated such as the increase of transaction costs, bid-ask spreads and price inefficiency (Amihud, Mendelson, Pedersen, & others, 2006).