Table 2.
Average sample volatility of assets
| Full Sample | Panel A | Panel B | Panel C | |||||
|---|---|---|---|---|---|---|---|---|
| Pre-COVID | COVID-Time | Pre-COVID | Epidemic | Pandemic | Pre-COVID (Indonesia) | COVID-Time (Indonesia) | ||
| Bond | 0.0010 | 0.0011 | 0.0009 | 0.0011 | 0.0009 | 0.0009 | 0.0011 | 0.0009 |
| Sukuk | 0.0021 | 0.0015 | 0.0026 | 0.0015 | 0.0021 | 0.0028 | 0.0016 | 0.0027 |
| Green sukuk | 0.0013 | 0.0009 | 0.0016 | 0.0009 | 0.0005 | 0.0019 | 0.0008 | 0.0018 |
| Conventional stock | 0.0108 | 0.0070 | 0.0139 | 0.0070 | 0.0086 | 0.0154 | 0.0069 | 0.0149 |
| Islamic stocks | 0.0136 | 0.0098 | 0.0168 | 0.0098 | 0.0114 | 0.0183 | 0.0096 | 0.0178 |
This Table provides the average of conditional volatilities of the five asset returns; namely bonds, sukuk, green sukuk, conventional stocks, and Islamic stocks. First column provides the average values for the full sample of data, from March 4, 2019 to December 4, 2020. Panel A provides descriptive statistics 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 descriptive statistics for the pre-COVID-19 period (March 4, 2019 to December 30, 2019), 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 the pre-COVID-19 and the COVID-19 periods specific to Indonesia, where the pre-COVID-19 phase is from March 4, 2019 to March 1, 2020 and the COVID-19 phase is from March 2, 2020 to December 4, 2020