Global crises such as the Covid-19 pandemic and the Russia–Ukraine war have reshaped financial markets, creating turbulence across both traditional and alternative assets. This study examines how these crises influenced volatility and external shock persistence in equity, cryptocurrency, and alternative asset markets.
To capture these dynamics, researchers employed univariate GARCH family models, analyzing five asset classes: Islamic, ESG, conventional, crypto, FinTech, and commodities. These categories were selected to represent a wide spectrum of global financial and alternative markets.
The findings show that nearly all financial and alternative assets experienced increased volatility during the crises, with the exception of Bitcoin, which demonstrated relative resilience. Before Covid-19, Islamic stocks and ESG indexes already exhibited higher volatility. However, during the pandemic, volatility rose across all asset classes. Interestingly, during the Russia–Ukraine war, Islamic equities and ESG indexes presented lower risk compared to conventional stocks and other alternative assets, highlighting their potential as stabilizing options during geopolitical uncertainty.
Overall, the study emphasizes that while financial assets tend to become more volatile in times of crisis, Islamic and ESG investments can provide valuable diversification benefits. For global investors, incorporating these assets may serve as a strategic approach to portfolio innovation in the face of future risks.
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