Sustainable and responsible investment dynamic cross-asset portfolio

Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from Jan...

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Bibliographic Details
Published in:Cogent business & management 2023-12, Vol.10 (1), p.1-14
Main Authors: Robiyanto, Robiyanto, Huruta, Andrian Dolfriandra, Frensidy, Budi, Yuliana, Ashalia Fitri
Format: Article
Language:English
Subjects:
Capital markets
Corporate governance
DCC-GARCH
Digital currencies
dynamics portfolio
Econometrics
Economic crisis
G11
G15
Gold
hedging effectiveness
International finance
Investments
optimal hedge ratio
Portfolio management
Precious metals
Stock exchanges
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Summary:Nowadays, the ESG-oriented portfolios are very popular. This study aims to study the performance of cross-asset portfolios between eco-friendly stocks (represented by Sri-Kehati index) with cryptocurrencies, bonds and gold. The data used in the study were the daily return of each instrument from January 2019 to December 2021, which was then analyzed using the DCC-GARCH analysis technique. The results show that adding Ripple, gold and bonds into a portfolio consisting of Sri-Kehati stocks can reduce the investment risk. The findings imply that investment managers and investors who have portfolios consisting of eco-friendly stocks such as Sri-Kehati stocks and bonds may reduce investment risk and balance their portfolios by adding gold or cryptocurrencies separately.
ISSN:2331-1975
2331-1975
DOI:10.1080/23311975.2023.2174478