Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Can Social Responsible Investment and Gold be a Good Diversifier for Indonesia Sharia Investors?
Dublin Core
Title
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Can Social Responsible Investment and Gold be a Good Diversifier for Indonesia Sharia Investors?
Can Social Responsible Investment and Gold be a Good Diversifier for Indonesia Sharia Investors?
Subject
Covid19; ESG Investment; Portfolio Diversification; Sharia Stock; Market integration
Description
The COVID-19 Pandemic persists after the global financial crisis resumption of financial turbulence. This vulnerabilities phenomenon compelled investors to restructure their portfolio by implementing a well-diversification strategy. The Sharia Investment and Environment Social Governance (ESG) Investment are two types of investment that enormously attract investors' interest, partly due to their resilience in times of crisis. This study examines the market integration between Sharia stocks, ESG stocks, and Gold and
empirically compares its integration in the period before and during the covid-19 Pandemic. The data used were daily closing prices on two Indonesia Sharia indices, ESG index and Gold price from January 2, 2015, to August 31, 2021. Through Johansen Cointegration, the results ascertain the cointegration among variables, implying limited
diversification opportunities among assets in the long run. Vector Error Correction Model found the significant short-term relationship between the Sharia stock index and ESG investment in the pre-pandemic period but turned out to be insignificant during the Pandemic. Further, the finding confirms the Gold's ability as a good diversifier for both assets in the pre-pandemic period. However, during the Pandemic, it suggests that gold can indeed provide diversification gains only for the ESG index. Our results have imperative implications about the asset allocation under portfolio optimization.
empirically compares its integration in the period before and during the covid-19 Pandemic. The data used were daily closing prices on two Indonesia Sharia indices, ESG index and Gold price from January 2, 2015, to August 31, 2021. Through Johansen Cointegration, the results ascertain the cointegration among variables, implying limited
diversification opportunities among assets in the long run. Vector Error Correction Model found the significant short-term relationship between the Sharia stock index and ESG investment in the pre-pandemic period but turned out to be insignificant during the Pandemic. Further, the finding confirms the Gold's ability as a good diversifier for both assets in the pre-pandemic period. However, during the Pandemic, it suggests that gold can indeed provide diversification gains only for the ESG index. Our results have imperative implications about the asset allocation under portfolio optimization.
Creator
Isnaini Nuzula Agustin
Source
DOI: 10.26905/jkdp.v26i1.6929
Publisher
Universitas Merdeka Malang
Date
January 2022
Contributor
Sri Wahyuni
Rights
ISSN: 2443-2687 (Online) ISSN: 1410-8089 (Print)
Format
PDF
Language
English
Type
Text
Coverage
Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Files
Collection
Citation
Isnaini Nuzula Agustin
, “Jurnal Keuangan dan Perbankan Universitas Merdeka Malang
Can Social Responsible Investment and Gold be a Good Diversifier for Indonesia Sharia Investors?,” Repository Horizon University Indonesia, accessed November 10, 2024, https://repository.horizon.ac.id/items/show/4829.
Can Social Responsible Investment and Gold be a Good Diversifier for Indonesia Sharia Investors?,” Repository Horizon University Indonesia, accessed November 10, 2024, https://repository.horizon.ac.id/items/show/4829.