The impact of Covid-19 and Russia–Ukraine war on the financial asset volatility: Evidence from equity, cryptocurrency and alternative assets

This study investigates the volatility and external shock persistence within the financial and alternative assets markets during times of crises triggered by Covid-19 and the war in Ukraine. Univariate GARCH family models are used to capture the effect of financial turmoil caused by recent crises. Five different class of assets (which includes Islamic, ESG, Conventional, Crypto, FinTech, and commodities) have been chosen to represent a sample of the worldwide traditional financial market and alternative assets. The findings of this study revealed that almost all financial and alternative assets experienced an increase in volatility, except Bitcoin, across all observation periods. Islamic stock and ESG indexes exhibited high volatility before the Covid-19 outbreak. During the pandemic, all assets became more volatile. In addition, Islamic equities and ESG indexes showed relatively lower risk compared to conventional stocks and other alternative assets during the war. Multiple financial assets tend to be highly volatile during crises; however, global investors need to consider the advantages of incorporating Islamic stocks and ESG indexes as part of their investment portfolio innovation strategy, particularly in the presence of geopolitical risk.