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Dynamic Asymmetric Optimal Portfolio Allocation between Energy Stocks and Energy Commodities: Evidence from Clean Energy and Oil and Gas Companies

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  • Mahdi Ghaemi Asl

    (Kharazmi University)

  • Giorgio Canarella

    (University of Nevada, Las Vegas)

  • Stephen M. Miller

    (University of Nevada, Las Vegas)

Abstract

This paper investigates returns and volatility transmission between SPGCE (index of clean energy stocks), SPGO (index of oil and gas stocks), two non-renewable energy commodities (natural gas and crude oil), and three products of crude oil distillation (heating oil, gasoline, and propane). We estimate a VAR(1) asymmetric BEKK-MGARCH(1,1) using daily U.S. data from March 1, 2010, to February 25, 2020. The empirical findings reveal a vast heterogeneity in spillover patterns of returns, volatilities, and shocks. We employ the empirical results to derive optimal portfolio weights, hedge ratios, and effectiveness measures for SPGCE and SPGO diversified portfolios. We find dynamic diversification advantages of energy commodities, especially heating oil, for energy-related stock markets. We also find that SPGCE and SPGO stocks possess the highest average optimal weight and hedging effectiveness for each other, implying that the positive performance of SPGCE stocks considerably compensates for the negative performance of SPGO stocks. For investors and regulators, the advancement and implementation of clean energy programs and policies, while reducing environmental debt and enhancing “green” growth and sustainable development, provide instruments and strategies to hedge the equity risks inherent in the oil and gas industry.

Suggested Citation

  • Mahdi Ghaemi Asl & Giorgio Canarella & Stephen M. Miller, 2020. "Dynamic Asymmetric Optimal Portfolio Allocation between Energy Stocks and Energy Commodities: Evidence from Clean Energy and Oil and Gas Companies," Working papers 2020-07, University of Connecticut, Department of Economics.
    • Handle: RePEc:uct:uconnp:2020-07
    Note: Mahdi Ghaemi Asl is the corresponding author
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    More about this item

    Keywords

    Clean energy stocks; Oil and gas stocks; Asymmetric BEKK; Dynamic Optimal Portfolios.;
    All these keywords.

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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