Did green debt instruments aid diversification during the COVID-19 pandemic?

Autor:	Paresh Kumar Narayan, Syed Aun R. Rizvi, Ali Sakti
Jazyk:	angličtina
Rok vydání:	2022
Předmět:	COVID-19 Green Sukuk Indonesia Capital market Public finance K4430-4675 Finance HG1-9999
Zdroj:	Financial Innovation, Vol 8, Iss 1, Pp 1-15 (2022)
Druh dokumentu:	article
ISSN:	2199-4730
DOI:	10.1186/s40854-021-00331-4
Popis:	Abstract Faced with a persistent pandemic, investors are concerned about portfolio diversification. While the literature on COVID-19 has evolved impressively, limited work remains on diversification opportunities. We contribute to the literature by exploring the volatility and co-movement of different sovereign debt instruments, including green sukuk, sukuk, bond and Islamic and conventional equity indices for Indonesia. Our results consistently point towards increased asset co-movement and weak profitability during the pandemic. Interestingly, sukuk and green sukuk have a 14% correlation with stocks, suggesting potential diversification prospects in times of extreme shocks.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/f10754259c4446f099e5751aa067765c Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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