Time-Varying Spillover and the Portfolio Diversification Implications of Clean Energy Equity with Commodities and Financial Assets
- 20 April 2018
- journal article
- research article
- Published by Taylor & Francis Ltd in Emerging Markets Finance and Trade
- Vol. 54 (8), 1837-1855
- https://doi.org/10.1080/1540496x.2018.1467314
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.Keywords
Funding Information
- Office of Dean: Research and Development, Indian Institute of Technology Kanpur, India (IITK /HSS /2015086)
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