Time-Varying Spillover and the Portfolio Diversification Implications of Clean Energy Equity with Commodities and Financial Assets

被引：39

作者：

Ahmad, Wasim ^{[1
]}

Rais, Shirin ^{[2
]}

机构：

[1] Indian Inst Technol Kanpur, Dept Econ Sci, Kanpur 208016, Uttar Pradesh, India

[2] Aligarh Muslim Univ, Dept Econ, Aligarh, Uttar Pradesh, India

来源：

EMERGING MARKETS FINANCE AND TRADE | 2018年 / 54卷 / 08期

关键词：

clean energy stocks; directional spillover; dynamic conditional correlations; oil prices; BRICS STOCK MARKETS; OIL PRICES; VOLATILITY SPILLOVERS; CRUDE-OIL; TECHNOLOGY COMPANIES; DYNAMIC SPILLOVERS; RENEWABLE ENERGY; RISK SPILLOVERS; PERFORMANCE; MANAGEMENT;

D O I：

10.1080/1540496X.2018.1467314

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article examines the time-varying spillover and its implications on hedging and portfolio diversification for clean energy equities (WilderHill New Energy Global Innovation Index (NEX)) with technology stocks (PSE), four energy sub-indices of Standard & Poor Goldman Sachs Commodity Index (S&P-GSCI) viz., Crude oil, Brent crude oil, Gasoline and Heating oil and three major global equities indices represented by the USA, Europe, World, Dow-Jones Islamic Market Index (DJIMI) along with USD-Euro exchange rate. We find that in a mixed portfolio set-up, the inclusion of NEX in energy portfolio provides better diversification and risk reduction benefits for hedgers and portfolio managers.

引用

页码：1838 / 1856

页数：19

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