Abstract Book of the 9th International Conference on Research in Business, Management and Finance
Year: 2025
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Risk Spillovers Between Renewable Energy Markets and Financial Assets: Portfolio Optimization and Hedging Implications
Asma Abdallah, Ahmed Ghorbel
ABSTRACT:
This study explores the dynamic relationships between the renewable energy market and a broad set of financial assets to enhance risk management strategies. The clean energy market, represented by the ECO index, is examined in relation to eleven key assets, including Brent Oil, Gold, Bonds, Heating Oil, CDS, and major volatility indices such as VIX, OVX, VSTOXX, VVIX, Euro Stoxx 50, and EUA. The analysis employs the minimum Conditional Value at Risk (min-CVaR) framework to estimate optimal hedge ratios, a technique increasingly recognized for its effectiveness in managing financial risk, and compares it with the traditional minimum variance (MV) model. Wavelet coherence and wavelet-VaR methods are applied to assess interdependence and risk transmission across multiple time–frequency scales. The findings reveal no statistically significant differences between the two strategies, yet the min-CVaR framework exhibits greater robustness. Moreover, the VIX index emerges as the most effective hedge for the clean energy market.
Keywords: Clean Energy; Hedging Strategies; Risk Management; Wavelet Analysis; Min-Cvar