Co-movements between Renewable Energy, Oil & Gas, and Technology in Europe: Implications for Investment Decisions
(2019) NEKP01 20191Department of Economics
- Abstract (Swedish)
- In this study, the relationship between the returns of stock indices for renewable
energy, oil & gas and technology is analysed in a European context with the use of a DCC
GARCH model. Results show that conditional correlations peaked during four years following the 2008 financial crisis but has since then reverted to pre-crisis levels. Hedge ratios imply
that renewable energy stocks can be shorted with circa 50 cents to hedge a 1$ long position
in oil & gas or technology stocks and risk minimizing portfolio weights are generally low for
renewable energy stocks. Portfolios that combine renewable energy stocks with technology
stocks perform better than portfolios that do not according to Sharpe ratios.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8985956
- author
- Thorstensson, Olof LU
- supervisor
- organization
- course
- NEKP01 20191
- year
- 2019
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- Renewable energy, European stocks, GARCH, conditional correlations
- language
- English
- id
- 8985956
- date added to LUP
- 2019-08-08 10:24:07
- date last changed
- 2019-08-08 10:24:07
@misc{8985956, abstract = {{In this study, the relationship between the returns of stock indices for renewable energy, oil & gas and technology is analysed in a European context with the use of a DCC GARCH model. Results show that conditional correlations peaked during four years following the 2008 financial crisis but has since then reverted to pre-crisis levels. Hedge ratios imply that renewable energy stocks can be shorted with circa 50 cents to hedge a 1$ long position in oil & gas or technology stocks and risk minimizing portfolio weights are generally low for renewable energy stocks. Portfolios that combine renewable energy stocks with technology stocks perform better than portfolios that do not according to Sharpe ratios.}}, author = {{Thorstensson, Olof}}, language = {{eng}}, note = {{Student Paper}}, title = {{Co-movements between Renewable Energy, Oil & Gas, and Technology in Europe: Implications for Investment Decisions}}, year = {{2019}}, }