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

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 sovere...

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Autores principales: Narayan, Paresh Kumar, Rizvi, Syed Aun R., Sakti, Ali
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8890819/
https://www.ncbi.nlm.nih.gov/pubmed/35261875
http://dx.doi.org/10.1186/s40854-021-00331-4
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author Narayan, Paresh Kumar
Rizvi, Syed Aun R.
Sakti, Ali
author_facet Narayan, Paresh Kumar
Rizvi, Syed Aun R.
Sakti, Ali
author_sort Narayan, Paresh Kumar
collection PubMed
description 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.
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spelling pubmed-88908192022-03-04 Did green debt instruments aid diversification during the COVID-19 pandemic? Narayan, Paresh Kumar Rizvi, Syed Aun R. Sakti, Ali Financ Innov Research 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. Springer Berlin Heidelberg 2022-03-03 2022 /pmc/articles/PMC8890819/ /pubmed/35261875 http://dx.doi.org/10.1186/s40854-021-00331-4 Text en © The Author(s) 2022 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Research
Narayan, Paresh Kumar
Rizvi, Syed Aun R.
Sakti, Ali
Did green debt instruments aid diversification during the COVID-19 pandemic?
title Did green debt instruments aid diversification during the COVID-19 pandemic?
title_full Did green debt instruments aid diversification during the COVID-19 pandemic?
title_fullStr Did green debt instruments aid diversification during the COVID-19 pandemic?
title_full_unstemmed Did green debt instruments aid diversification during the COVID-19 pandemic?
title_short Did green debt instruments aid diversification during the COVID-19 pandemic?
title_sort did green debt instruments aid diversification during the covid-19 pandemic?
topic Research
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8890819/
https://www.ncbi.nlm.nih.gov/pubmed/35261875
http://dx.doi.org/10.1186/s40854-021-00331-4
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