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

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  • Wasim Ahmad
  • Shirin Rais

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.

Suggested Citation

  • Wasim Ahmad & Shirin Rais, 2018. "Time-Varying Spillover and the Portfolio Diversification Implications of Clean Energy Equity with Commodities and Financial Assets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(8), pages 1837-1855, June.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:8:p:1837-1855
    DOI: 10.1080/1540496X.2018.1467314
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