In this study, we investigate the return propagation mechanism across four clean energy indices, namely, the NASDAQ OMX Green Economy Index, NASDAQ OMX Solar Energy Index, NASDAQ OMX Wind Energy Index, and NASDAQ OMX Geothermal Energy Index ranging from December 21st, 2010 until June 2nd, 2023 by using a novel DCC-GARCH-based decomposed connectedness approach. This framework allows us to efficiently decompose dynamic conditional goodness-of-fit measures into its decomposed components. Furthermore, we introduce the concept of minimum decomposed connectedness portfolios and multivariate hedging portfolios. We find that the dynamic total connectedness is heterogeneous over time and economic-event dependent. In addition, the empirical results highlight that the NASDAQ OMX Green Economy Index is a net transmitter of shocks while all others are net receivers of shocks. Finally, we find that our proposed portfolio technique outperforms the NASDAQ OMX Green Economy Index as well as all alternative multivariate portfolio techniques regarding the hedging effectiveness score and the Sharpe ratio.

中文翻译：

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清洁能源市场连通性与投资策略：DCC-GARCH R[公式省略]分解连通性测度的新证据


在本研究中，我们研究了四个清洁能源指数的回报传播机制，即纳斯达克 OMX 绿色经济指数、纳斯达克 OMX 太阳能指数、纳斯达克 OMX 风能指数和纳斯达克 OMX 地热能指数，时间范围为 2010 年 12 月 21 日至2023 年 6 月 2 日，使用一种新颖的基于 DCC-GARCH 的分解连通性方法。该框架使我们能够有效地将动态条件拟合优度度量分解为其分解的组件。此外，我们引入了最小分解连通性投资组合和多元对冲投资组合的概念。我们发现动态总连通性随着时间的推移是异质的并且依赖于经济事件。此外，实证结果强调，纳斯达克 OMX 绿色经济指数是冲击的净传送者，而所有其他指数都是冲击的净接收者。最后，我们发现我们提出的投资组合技术在对冲有效性评分和夏普比率方面优于纳斯达克 OMX 绿色经济指数以及所有替代多元投资组合技术。