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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
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    Citations

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    Cited by:

    1. 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.
    2. 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.

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