Time-Varying Volatility Among Bahrain Stock Exchange with Disruptive Technology and Sustainable Asset Class- Insights for Portfolio Diversification

摘要

With the backdrop of an evolving nexus between technology and sustainability, this research underscores the changing investment patterns, with portfolio managers integrating disruptive technologies and identifying sustainable opportunities. The necessity of diversification becomes vital during crises, exemplified by the recent pandemic and financial vulnerabilities. The Bahrain stock exchange, a vital contributor to technology- driven enterprises and sustainable finance, emerges as a strategic focal point. The study aims to analyze the dynamic landscape of the Bahrain stock exchange, by investigating the diversification with the transformative forces of disruptive technology and the burgeoning sustainable asset class. The study applied Time-varying volatility models TVP- VAR and Network Analysis. The results show that non-conventional funds are providing robust diversification with the Bahrain index. Notably, iShares Robotics and Artificial Intelligence Multisector ETF (IRBO) and First Trust NASDAQ AI and Robotics ETF (ROBT) emerge as superior diversifier. The results are useful for investors and portfolio managers.