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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název periodika

Borsa Istanbul Review

ISSN

2214-8450

e-ISSN

2214-8469

Svazek periodika

22

Číslo periodika v rámci svazku

S1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

13

Strana od-do

"S47"-"S59"

Kód UT WoS článku

000937527500005

EID výsledku v databázi Scopus

2-s2.0-85143155145