TY - JOUR
T1 - Sustainable and responsible investment dynamic cross-asset portfolio
AU - Robiyanto, Robiyanto
AU - Huruta, Andrian Dolfriandra
AU - Frensidy, Budi
AU - Yuliana, Ashalia Fitri
N1 - Funding Information:
The authors would like to thanks Direktorat Riset dan Pengabdian Masyarakat, Kementerian Pendidikan, Kebudayaan, Riset dan Teknologi (Directorate of Research and Community Service, Ministry of Education, Culture, Research and Technology), Indonesia for funding this study by Grant Number: 072/E5/PG.02.00.PT/2022 and 001/LL6/PL/AK.04/2022.
Publisher Copyright:
© 2023 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.
PY - 2023
Y1 - 2023
N2 - 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.
AB - 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.
KW - DCC-GARCH
KW - dynamics portfolio
KW - hedging effectiveness
KW - optimal hedge ratio
UR - http://www.scopus.com/inward/record.url?scp=85148337149&partnerID=8YFLogxK
U2 - 10.1080/23311975.2023.2174478
DO - 10.1080/23311975.2023.2174478
M3 - Article
AN - SCOPUS:85148337149
SN - 2331-1975
VL - 10
JO - Cogent Business and Management
JF - Cogent Business and Management
IS - 1
M1 - 2174478
ER -