The resilience of ethical assets against different uncertainty shocks
Author Information
Author(s): Hasan Md Bokhtiar, Hassan M. Kabir, Rashid Mamunur, Akter Tanzila, Rafia Humaira Tahsin
Primary Institution: Islamic University, Kushtia, Bangladesh
Hypothesis
This study examines the safe haven properties of ethical and conventional asset classes during various uncertainty shocks.
Conclusion
The study finds that most ethical assets can provide a safe haven against geopolitical risks and economic policy uncertainty, but they are negatively impacted by market volatility.
Supporting Evidence
- Most asset classes provide a safe haven against geopolitical risk.
- Most assets also offer a safe haven against economic policy uncertainty, depending on market conditions.
- Only the S&P Green Bond and S&P Global Clean Energy indices show protective attributes against economic policy uncertainty during COVID-19.
- Market volatility negatively impacts all asset classes except for the S&P Green Bond.
Takeaway
This study looks at how certain investments can help keep your money safe during tough times, like when the economy is uncertain or when there are big global events.
Methodology
The study uses quantile coherence and wavelet coherence techniques to analyze the relationships between asset classes and uncertainty factors over a period from 2011 to 2021.
Limitations
The study is limited to a single conventional asset and does not include precious metals or cryptocurrencies.
Statistical Information
Statistical Significance
p<0.05
Digital Object Identifier (DOI)
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