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Table 3 Average conditional correlations amongst asset pairs

From: Did green debt instruments aid diversification during the COVID-19 pandemic?

 

Full Sample (%)

Panel A

Panel B

Panel C

Pre-COVID-19 (%)

t-test between Full Sample & Pre-COVID-19

COVID-19 (%)

t-test between Pre-COVID & COVID-19

Epidemic (%)

Pandemic (%)

t-test between Epidemic & Pandemic

Pre-COVID-19 (Indonesia) (%)

COVID-19 (Indonesia) (%)

t-test between Pre-COVID & COVID-19

Sukuk & Bond

13.99

11.64

− 0.55

15.97

− 7.89

6.23

18.60

− 30.09

10.91

17.20

− 6.31

Green Sukuk & Bond

15.50

16.12

− 7.78

14.97

1.00

3.54

18.07

− 6.89

14.29

16.76

− 1.52

Green Sukuk & Sukuk

39.00

51.21

− 3.05

28.69

21.67

16.28

32.06

− 13.13

47.33

30.28

13.40

Conventional Stock & Bond

19.47

16.27

− 0.83

22.18

− 11.38

10.97

25.22

− 33.69

15.00

24.16

− 13.07

Conventional Stock & Sukuk

2.19

− 5.31

0.33

8.52

− 12.92

− 4.52

12.06

− 22.12

− 5.09

9.80

− 14.00

Conventional Stock & Green Sukuk

11.50

11.39

− 4.75

11.60

− 0.55

− 8.62

17.08

− 18.82

9.33

13.78

− 2.73

Islamic Stock & Conventional Stock

85.69

76.39

8.02

93.54

− 15.11

92.13

93.92

− 14.91

77.83

93.90

− 13.90

Islamic Stock & Bond

17.76

14.99

− 1.17

20.10

− 8.54

6.06

23.90

− 34.48

13.51

22.20

− 9.14

Islamic Stock & Sukuk

− 0.10

− 9.07

0.69

7.47

− 14.06

− 6.28

11.20

− 27.18

− 8.79

8.98

− 15.12

Islamic Stock & Green Sukuk

8.30

8.31

− 6.05

8.28

− 0.37

− 14.00

14.32

− 22.13

5.92

10.78

− 2.85

  1. This table provides the average of conditional correlations amongst asset return pairs. The null hypothesis that the correlations are zero is also tested and the resulting t-tests are reported. The first column provides the average correlations over the full sample (March 4, 2019 to December 4, 2020). Panel A provides the sample average conditional correlations for the pre-COVID-19 period (March 4, 2019 to December 30, 2019) and the COVID-19 period (December 31, 2019 to December 4, 2020). Panel B presents the sample average conditional correlations for the epidemic phase of COVID-19 (December 31, 2019 to March 10, 2020) and the pandemic phase (March 11, 2020 to December 4, 2020). Panel C defines pre-COVID-19 and COVID-19 period specific to the Indonesian case, where the pre-COVID phase is from March 4, 2019 to March 1, 2020 and the COVID-19 phase is from March 2, 2020 to December 4, 2020. The first three rows of the table correlations are conditional correlations for pairs of debt securities. The next three rows contain conditional correlations for conventional stocks with bonds, sukuk, and green sukuk. The last four rows have conditional correlations of Islamic stocks with conventional stocks, bonds, sukuk and green sukuk