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

Paresh Kumar Narayan (), Syed Aun R. Rizvi and Ali Sakti
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Paresh Kumar Narayan: Monash University
Ali Sakti: Bank Indonesia

Financial Innovation, 2022, vol. 8, issue 1, 1-15

Abstract: 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.

Keywords: COVID-19; Green Sukuk; Indonesia Capital market (search for similar items in EconPapers)
JEL-codes: G11 G15 G19 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (7)

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DOI: 10.1186/s40854-021-00331-4

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