The Evolving Landscape of Stock Market Diversification: A Comprehensive Study of Green and Conventional Indices
Landskap Pemelbagaian Pasaran Saham yang Berkembang: Satu Kajian Komprehensif Mengenai Indeks Hijau dan Konvensional

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM, Bangi Selangor, MALAYSIA

ahmadmonirabdullah@ukm.edu.my

Faculty of Economics and Management
Universiti Kebangsaan Malaysia
43600 UKM, Bangi Selangor, MALAYSIA

msabri@ukm.edu.my

Faculty of Business and Management
Gong Badak Campus,
Gong Badak, 21300 Kuala Nerus,
Terengganu Darul Iman, Malaysia

hamdy@unisza.edu.my

Abstract

This study examined the diversification dynamics between green and conventional stock indices from January 2015 to December 2023, utilising MGARCH-DCC and the Continuous Wavelet Transform (CWT). The current study analysed five green indices (BIST, CSI, DJSI, S&P ESG, STOXX) and five conventional indices (DJIA, S&P 500, FTSE 100, China, KOSPI) to explore their time-varying volatility and correlation. The results reveal that BIST exhibits the highest volatility, suggesting exposure to speculative movements, while DJSI demonstrates greater stability, reflecting the resilience of sustainability leaders in developed markets. Despite its relatively high volatility, the China index remains a viable instrument for diversification. The KOSPI index emerged as a balanced option, offering moderate volatility and correlation, while the S&P ESG index was positioned as a comparatively safer investment due to its stable performance and moderate comovement with conventional indices. The pairing of CSI and the China index was identified as optimal for risk-averse investors, driven by their consistently low correlation throughout the study period, as identified by the CWT analysis.

Keywords

continuous wavelet transform; conventional stock indices; green indices; multivariate GARCH-DCC; Stock market diversification
https://doi.org/10.17576/pengurusan-2025-75-8

Citation

Abdullah, A. M., Hassan, M. S., & Abdullah, H. (2025). The Evolving Landscape of Stock Market Diversification: A Comprehensive Study of Green and Conventional Indices. Jurnal Pengurusan, 75, –. https://doi.org/10.17576/pengurusan-2025-75-8

@article{abdullah2025the,
  title={The Evolving Landscape of Stock Market Diversification: A Comprehensive Study of Green and Conventional Indices},
  author={Abdullah, Ahmad Monir and Hassan, Mohamat Sabri and Abdullah, Hamdy},
  journal={Jurnal Pengurusan},
 

volume={75},
  number={},
  pages={—},
  year={2025},
  doi={https://doi.org/10.17576/pengurusan-2025-75-8},
  publisher={Penerbit UKM},
}

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75 (2025) –

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