Work

Portfolio risk and return between energy and non-energy stocks

Year: 2024

Type: article

Abstract: This paper aims to examine the potential for portfolio returns by adding together conventional and energy stocks with varying proportions. We examine the risk and return characteristics of a portfolio comprising energy and non-energy stocks from twenty countries. The period for daily data ranges from 2 nd July 1999 to 2 nd July 2021. We use multiscale Sharpe and VaR ratios to examine the risk and returns behaviour of a portfolio with varying composition between energy and non-energy stocks across different investment periods. Our results highlight optimal returns for the equally weighted portfolio during normal and crisis periods except COVID-19 during which more proportion of conventional stocks is preferred. Risk estimates advocate an equally weighted portfolio for all periods however risk varies with the holding period. These results carry useful investment implications during short- and long-run holdings of conventional and energy stocks in a portfolio.

Source: Heliyon

DOI: 10.1016/j.heliyon.2024.e31199

Authors: Neeraj Nautiyal, Abdel Razzaq Alrababa'a, Mobeen Ur Rehman, Xuan Vinh Vo, Mamdouh Abdulaziz Saleh Al-Faryan

Institutions: Sohar University, Yarmouk University, University of Economics Ho Chi Minh City, Viện Nghiên cứu kinh doanh, Keele University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Affordable and clean energy

Open Access status: gold

Estimated APC paid: $2,100