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...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.展开更多
文摘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.
