Are renewable energy stocks a possibility to diversify portfolios considering an environmentally friendly approach? The view of DCCA correlation coefficient

When considering an investment, agents are interested in obtaining returns but always considering the risk of that investment. Obviously, they intend to manage their risk, preferring less risky assets. Still, there are other factors, such as the case of corporative image and the international position regarding environmentally friendly policies that might influence this selection. Retrieving information for 26 shares of firms producing renewable energy, in this paper we use the DCCA correlation coefficient to see how those shares behave with the main indices. If shares and indices are not correlated, different factors affect them, which could be seen as a possibility of risk diversification. The results show that in the short run correlation exists (in scales under 100 days) but in the long run most shares are uncorrelated with the indices of their countries (in scales greater than 200), meaning that those shares, associated with more sustainable principles, could be used to manage portfolio risks.