IDEAS home Printed from https://ideas.repec.org/a/pal/palcom/v12y2025i1d10.1057_s41599-025-04753-8.html
   My bibliography  Save this article

Dynamic correlations and portfolio optimization in socially responsible investments: evidence from Indonesia and South Korea

Author

Listed:
  • Ana Iglesias-Casal

    (University of Santiago de Compostela, ECOBAS Research Center)

  • Carmen López-Andión

    (University of Santiago de Compostela, ECOBAS Research Center)

  • Mª Celia López-Penabad

    (University of Santiago de Compostela, ECOBAS Research Center)

  • José Manuel Maside-Sanfiz

    (University of Santiago de Compostela, ECOBAS Research Center)

Abstract

This study contributes to the literature on socially responsible investing by examining the diversification potential of green bonds and futures for a commodities’ index, gold and treasury bonds, alongside the SRI-KEHATI Index and the Dow Jones Sustainability Korea Index (DJSKI) from 2014 to 2024. Asymmetric Dynamic Conditional Correlation (A-DCC) models with GJR-GARCH in conditional variance and out-of-sample analysis are employed to explore dynamic conditional correlations, optimal weights and hedge ratios for stocks portfolio that include the SRI-KEHATI Index or the DJSKI. Constructing portfolios with optimal weights proves to be more effective in risk reduction compared to the hedge ratio strategy. The portfolio with optimal weights containing commodities exhibited the highest risk-adjusted return for both countries during the pre-war COVID-19 pandemic period, while in the subsequent period, portfolios containing gold performed best. Our findings provide valuable insights for investors, portfolio and risk managers, policymakers and index managers, aiding in improved risk management and decision-making for optimal portfolio allocation.

Suggested Citation

  • Ana Iglesias-Casal & Carmen López-Andión & Mª Celia López-Penabad & José Manuel Maside-Sanfiz, 2025. "Dynamic correlations and portfolio optimization in socially responsible investments: evidence from Indonesia and South Korea," Palgrave Communications, Palgrave Macmillan, vol. 12(1), pages 1-15, December.
    • Handle: RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04753-8
    DOI: 10.1057/s41599-025-04753-8
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/s41599-025-04753-8
    File Function: Abstract
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1057/s41599-025-04753-8?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04753-8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: https://www.nature.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.