Assessing the impact of renewable energy tokens on BRICS stock markets: a new diversification approach

Ali, S, Umar, M, Naveed, M and Shan, S ORCID: https://orcid.org/0000-0003-4928-588X, 2024. Assessing the impact of renewable energy tokens on BRICS stock markets: a new diversification approach. Energy Economics, 134: 107523. ISSN 0140-9883

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Abstract

The key concern of this study is to investigate the nexus between the BRICS equity market and renewable energy tokens. Based on TVP-VAR, we examine the static and dynamic connectedness between our variables of interest. In addition to connectedness, we have also determined the diversification potential of renewable energy tokens using the DCC-GARCH model. The results infer that the connectedness between renewable energy tokens and the BRICS market remains substantial. However, it became more apmlified during COVID-19. Particularly, our findings show that BRICS equity markets act as transmitters while renewable energy tokens function as net receivers of return spillover within the system examined. Additionally, our findings infer that the inclusion of renewable energy tokens offers portfolio diversification benefits to investors in the BRICS region. However, during troublesome times, renewable energy sources provide hedging and compensate the investor's exposure to the higher level of uncertainty. Wrapping up, our findings hold indispensable guidance for investors, portfolio managers, and policy analysts.

Item Type:	Journal article
Publication Title:	Energy Economics
Creators:	Ali, S., Umar, M., Naveed, M. and Shan, S.
Publisher:	Elsevier
Date:	June 2024
Volume:	134
ISSN:	0140-9883
Identifiers:	Number Type 10.1016/j.eneco.2024.107523 DOI S0140988324002317 Publisher Item Identifier 1886353 Other
Divisions:	Schools > Nottingham Business School
Record created by:	Jonathan Gallacher
Date Added:	16 May 2024 07:40
Last Modified:	16 May 2024 07:40
URI:	https://irep.ntu.ac.uk/id/eprint/51441

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