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August 16, 2026Review of Middle East Economics and Finance

The Energy Sustainability Advantage: Dynamic Connectedness and Portfolio Management Among Clean Energy, Crude Oil, and GCC Equity Markets

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Authors

WCWalid ChkiliSMSamir Mabrouk

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Overview

Econometric analysis reveals dynamic volatility spillovers between oil and GCC equities, indicating clean energy provides superior portfolio risk hedging.

Key Points

  • To investigate risk dependence and dynamic volatility spillovers among clean energy, crude oil, and GCC stock markets between 2013 and 2023, including during major global shock events.
  • Analyzed daily price series spanning 2013 to 2023 covering the COVID-19 pandemic and the Russia-Ukraine conflict.
  • Estimated time-varying spillover networks using the Diebold-Yilmaz volatility spillover index framework and continuous wavelet coherence analysis across various investment horizons.
  • Calculated dynamic hedge ratios and evaluated portfolio hedging effectiveness for clean energy versus crude oil combined with GCC equity indices.
  • Crude oil prices alongside Saudi Arabia (KSA) and Kuwait stock markets served as net transmitters of volatility shocks, while clean energy and stock markets of the UAE, Qatar, Bahrain, and Oman functioned as net receivers.
  • Wavelet coherence revealed significant scale-dependent co-movement, showing strongest coherence at low frequencies (long-term horizons) during the oil price collapse and the COVID-19 crisis.
  • Incorporating clean energy into GCC equity portfolios yielded higher hedging effectiveness and greater risk reduction compared to incorporating crude oil.

Cite This Study

Chkili et al. (2026) studied this question.

synapsesocial.com/papers/6a817a60f2fb91fc834ae25chttps://doi.org/10.1515/rmeef-2025-0030
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Also Consider

Synapse has enriched one closely related paper. Consider it for comparative context:

  1. 1Dependence between the GCC energy equities, global clean energy and emission markets: Evidence from wavelet analysis2023 · 22 citations