Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/294272 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Cogent Business & Management [ISSN:] 2331-1975 [Volume:] 10 [Issue:] 1 [Article No.:] 2174478 [Year:] 2023 [Pages:] 1-14
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
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.
Schlagwörter: 
DCC-GARCH
dynamics portfolio
hedging effectiveness
optimal hedge ratio
JEL: 
G15
G11
Q59
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