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Co-movements between Renewable Energy, Oil & Gas, and Technology in Europe: Implications for Investment Decisions

Thorstensson, Olof LU (2019) NEKP01 20191
Department 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:
author
Thorstensson, Olof LU
supervisor
organization
course
NEKP01 20191
year
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},
  keyword      = {Renewable energy,European stocks,GARCH,conditional correlations},
  language     = {eng},
  note         = {Student Paper},
  title        = {Co-movements between Renewable Energy, Oil & Gas, and Technology in Europe: Implications for Investment Decisions},
  year         = {2019},
}