Title: Exploring the dynamic connectedness and portfolio diversification strategies between energy and non-energy commodities in India

Authors: Ishwar Sharma; Meera Bamba; Bhawana Verma; Bharti Verma

Addresses: Department of Commerce, Indira Gandhi University, Meerpur, Rewari, Haryana, 123401, India ' Department of Commerce, Indira Gandhi University, Meerpur, Rewari, Haryana, 123401, India ' Department of Commerce, Indira Gandhi University, Meerpur, Rewari, Haryana, 123401, India ' Department of Commerce, Indira Gandhi University, Meerpur, Rewari, Haryana, 123401, India

Abstract: The study uses the novel connectedness approach to investigate the connectedness between India's energy and non-energy commodities. Additionally, bivariate and multivariate portfolio techniques are employed to determine the optimum weightage for a portfolio. Based on an analysis of closing price data from the Multi Commodity Exchange of India Limited, spanning from January 31, 2015, to July 15, 2024, the study revealed a low spillover between the energy and non-energy markets. Energy commodities act as net transmitters, while non-energy commodities act as net receivers. Furthermore, the pairwise connectedness of the energy market with non-energy markets demonstrates diversification potential. A portfolio based on the weightage derived from bivariate and multivariate portfolio techniques can effectively reduce volatility. The study provides valuable insights for portfolio managers, investors, and policymakers.

Keywords: connectedness; diversification; energy; India; portfolio weight.

DOI: 10.1504/IJTGM.2024.143758

International Journal of Trade and Global Markets, 2024 Vol.20 No.1/2, pp.121 - 139

Received: 29 May 2024
Accepted: 04 Sep 2024
Published online: 06 Jan 2025 *

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