Covid-19 pandemic, asset prices, risks, and their convergence: A survey of Islamic and G7 stock market, and alternative assets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60076658%3A12510%2F22%3A43905879" target="_blank" >RIV/60076658:12510/22:43905879 - isvavai.cz</a>

Result on the web

<a href="https://www.sciencedirect.com/science/article/pii/S2214845022001089?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S2214845022001089?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.bir.2022.11.011" target="_blank" >10.1016/j.bir.2022.11.011</a>

Result language

angličtina

Original language name

Covid-19 pandemic, asset prices, risks, and their convergence: A survey of Islamic and G7 stock market, and alternative assets

Original language description

The coronavirus (Covid-19) pandemic created a shock not only for the health-care industry but also the global economy and finances. The pandemic also caused an increase in the risk of investing in various financial assets worldwide. To investigate this phenomenon empirically, this study analyzes the behavior of financial assets through risk and return in the time of the Covid-19 outbreak, using the GARCH (Generalized Auto Regressive Conditional Heteroskedasticity) family methods. This study conducts a group analysis asset price performance, based on stock markets in Muslim-majority countries and the Group of Seven (G7) and alternative financial assets. This asset group is selected to represent the characteristics of the global financial market with possibly varied behavior. The results of the study show, first, that the severity of the pandemic had a negative effect on the price performance of some assets, such as Indonesia (Jakarta Islamic Index), the UK (United Kingdom100 Index, ESG (Environmental, Social, and Governance), commodities, 10-year US bonds, and Bitcoin, but the price performance of other assets went in the opposite direction, for example, Malaysia (FBMHS Index), the US (S&amp;P 500 Index), and gold. Second, during the pandemic, most assets became more risky. Third, prices on G7 and Islamic stocks and alternative asset groups had different price and risk convergence patterns. The pandemic contributed to price differentials but not much changed in the risk patterns of the assets. Stock prices in the markets of Muslim-majority countries moved randomly—that is, they did not tend to converge in the pre-crisis period. However, before and during the pandemic, asset risk converged in the markets of Muslim-majority countries, which means that the risk of investing in assets there has long-term risk following the same pattern (i.e., if it increases in one country, assets in the other countries will follow). This pattern makes it easier for investors to observe and make risk decisions on investment in Islamic assets in Muslim-majority countries, so this investment in these assets is sustainable. This study suggests that investment managers diversify financial portfolios based on the type of assets and the severity of the pandemic and the policy response in the relevant country.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

50206 - Finance

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2022

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Borsa Istanbul Review

ISSN

2214-8450

e-ISSN

2214-8469

Volume of the periodical

22

Issue of the periodical within the volume

S1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

13

Pages from-to

"S47"-"S59"

UT code for WoS article

000937527500005

EID of the result in the Scopus database

2-s2.0-85143155145