IDEAS home Printed from https://ideas.repec.org/a/wsi/ijfexx/v09y2022i01ns2424786321500237.html
   My bibliography  Save this article

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

Author

Listed:
  • Mourad Mroua

    (Institute of High Business Studies, University of Sfax, Tunisia)

  • Hejer Bouattour

    (Institute of High Business Studies, University of Sfax, Tunisia)

  • Nader Naifar

    (��Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia)

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.

Suggested Citation

  • Mourad Mroua & Hejer Bouattour & Nader Naifar, 2022. "Dynamic links between renewable energy, commodities, and financial stock markets: Implications for portfolio diversification," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-28, March.
    • Handle: RePEc:wsi:ijfexx:v:09:y:2022:i:01:n:s2424786321500237
    DOI: 10.1142/S2424786321500237
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2424786321500237
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2424786321500237?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kedžo Margareta Gardijan, 2022. "COVID-19 pandemic impact on investment prospective in selected CEE stock markets: A stochastic dominance approach," Croatian Review of Economic, Business and Social Statistics, Sciendo, vol. 8(2), pages 28-42, December.
    2. Shoirahon Odilova & Zebo Sharipova & Sardor Azam, 2023. "Investing in the Future: A Systematic Literature Review on Renewable Energy and its Impact on Financial Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 13(4), pages 329-337, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijfexx:v:09:y:2022:i:01:n:s2424786321500237. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/worldscinet/ijfe .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.