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Do alternative energy markets provide optimal alternative investment opportunities?

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  • Rehman, Mobeen Ur
  • Vo, Xuan Vinh

Abstract

This paper investigates diversification opportunities for investors among different alternative energy markets. We sample six alternative energy markets namely World, Developed, Emerging, EU, BRIC and G7 with daily data ranging from January 2006 to December 2017. For estimations, we use wavelet multiple correlation and wavelet multiple cross correlation proposed by Polanco-Martínez and Fernández-Macho (2014) to find pairwise correlation at different investment horizons. Our work contributes in measuring integration level among alternative regional energy markets across different investment horizons. Our results highlight that World, Developed, Emerging, EU markets offer maximum diversification when included with either Emerging or BRIC energy markets in a portfolio. Furthermore, diversification benefits are more prominent under intra-week to monthly investment horizons for all portfolio combinations. We also rank different pairs of alternative markets based on their integration level which carry important implications for portfolio diversification and risk management.

Suggested Citation

  • Rehman, Mobeen Ur & Vo, Xuan Vinh, 2020. "Do alternative energy markets provide optimal alternative investment opportunities?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301674
    DOI: 10.1016/j.najef.2020.101271
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    Cited by:

    1. Kang, Sang Hoon & Arreola Hernandez, Jose & Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2023. "Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities," Resources Policy, Elsevier, vol. 81(C).
    2. Ji, Xiangfeng & Chen, Xueqi & Mirza, Nawazish & Umar, Muhammad, 2021. "Sustainable energy goals and investment premium: Evidence from renewable and conventional equity mutual funds in the Euro zone," Resources Policy, Elsevier, vol. 74(C).
    3. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.
    4. Rao, Amar & Lucey, Brian & Kumar, Satish & Lim, Weng Marc, 2025. "Corrigendum to “Do green energy markets catch cold when conventional energy markets sneeze?” [Energy Economics Volume 127, Part A, November 2023, 107035]," Energy Economics, Elsevier, vol. 148(C).
    5. Naqvi, Bushra & Rizvi, Syed Kumail Abbas & Hasnaoui, Amir & Shao, Xuefeng, 2022. "Going beyond sustainability: The diversification benefits of green energy financial products," Energy Economics, Elsevier, vol. 111(C).
    6. Mensi, Walid & Rehman, Mobeen Ur & Gök, Remzi & Gemici, Eray & Vo, Xuan Vinh, 2025. "Risk spillovers and diversification benefits between crude oil and agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 73(PA).
    7. Rehman, Mobeen Ur & Nautiyal, Neeraj & Ghardallou, Wafa & Vo, Xuan Vinh & Zeitun, Rami, 2023. "Comovement and spillover among energy markets: A Comparison across different crisis periods," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 277-302.

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