Time-Varying Spillover and the Portfolio Diversification Implications of Clean Energy Equity with Commodities and Financial Assets |
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| Authors: | Wasim Ahmad Shirin Rais |
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| Affiliation: | 1. Department of Economic Sciences, Indian Institute of Technology Kanpur, Kanpur, India;2. Department of Economics, Aligarh Muslim University, Aligarh, India |
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| 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. |
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| Keywords: | clean energy stocks directional spillover dynamic conditional correlations oil prices |
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