Dynamic links between renewable energy, commodities, and financial stock markets: Implications for portfolio diversification

Mourad Mroua (), Hejer Bouattour () and Nader Naifar
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Mourad Mroua: Institute of High Business Studies, University of Sfax, Tunisia
Hejer Bouattour: Institute of High Business Studies, University of Sfax, Tunisia

International Journal of Financial Engineering (IJFE), 2022, vol. 09, issue 01, 1-28

Abstract: This paper investigates the dynamic links between renewable energy, commodities, and financial stock markets and analyzes the performance of renewable energy investment in an international portfolio diversification strategy across different financial market conditions. By using the dynamic spillover approach, the empirical results show that the renewable energy and oil markets are net emitters of shocks to stock markets. By applying the nonparametric stochastic dominance approach and comparing the optimal maximum Sharpe ratio (MSR) diversified portfolios, the results suggest that the renewable energy index can be a good substitute for traditional diversification, especially during tranquil periods.

Keywords: Energy markets; international diversification; stochastic dominance; dynamic spillover (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S2424786321500237

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