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Uncovering dynamic relationships across sustainable-ethical financial assets: A new outlook from Indonesia
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Uncovering dynamic relationships across sustainable-ethical financial assets: A new outlook from Indonesia
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Journal Article
Uncovering dynamic relationships across sustainable-ethical financial assets: A new outlook from Indonesia
2025
Overview
Against the rapid developments in cross-border investment that shed light on portfolio diversification opportunities, this study investigates the relationship between Indonesia’s sustainable ethical stocks and global sustainable financial assets. Amid market uncertainty, the need for safe havens and diversification of investment portfolios is imperative. Given the remarkable performance of Indonesia’s Islamic stocks, which are considered ethical stock, and the importance of sustainable stocks, this study examines how global financial assets such as Green Bonds, Artificial Intelligence (AI) stocks, and clean cryptocurrencies are interconnected. Employing a Dynamic Conditional Correlation – Generalized Autoregressive Heteroskedasticity (DCC-GARCH) model within the Structural Vector Autoregression (SVAR) framework, this study examined daily data spanning January 2, 2020, to August 6, 2023. This study finds strong evidence of dynamic relationships across assets, implying limited diversification benefits in the market. The results show that Cardano, as a clean cryptocurrency, can serve as a short-term safe haven, while the Green Bond potential is a long-term safe haven against Indonesia’s Islamic stocks. However, green bonds, Cardano, and AI stocks are suggested as potential diversifiers for sustainable stocks. Understanding these dynamics offers valuable insights into asset selection and diversification strategies, particularly for investors focusing on sustainable ethical assets.
Publisher
Business Perspectives Ltd
Subject
