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

Wasim Ahmad and Shirin Rais

Emerging Markets Finance and Trade, 2018, vol. 54, issue 8, 1837-1855

Abstract: 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.

Date: 2018
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DOI: 10.1080/1540496X.2018.1467314

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Handle: RePEc:mes:emfitr:v:54:y:2018:i:8:p:1837-1855