Do alternative energy markets provide optimal alternative investment opportunities?
- Rehman, MU; Vo, XV
- 2020
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【Author】 Rehman, Mobeen Ur; Xuan Vinh Vo
【Source】NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
【影响因子】3.136
【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-Martinez and Fernandez-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.
【Keywords】Alternative energy; Discrete wavelets; Returns spillover
【发表时间】2020 NOV
【收录时间】2022-01-02
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