We investigate the nonlinear spillover and portfolio allocation characteristics of the US and Canadian energy equity portfolios. Our empirical study based on directional spillover index and non-convex portfolio optimization show that the spillover effects in the aggregate are smaller for the US portfolio across time. However, when only the largest spillover transmitters and receivers are considered, the total spillover effects are lower for the Canadian portfolio relative to the US portfolio. These portfolio optimization results indicate lower portfolio allocation risk for the Canadian energy equities during the global financial crisis of 2008 and for the full sample period.

中文翻译：

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能源股票行业的非线性溢出和投资组合配置特征：来自美国和加拿大的证据

我们研究了美国和加拿大能源股票投资组合的非线性溢出和投资组合配置特征。我们基于定向溢出指数和非凸投资组合优化的实证研究表明，随着时间的推移，美国投资组合的总体溢出效应较小。然而，当仅考虑最大的溢出发射器和接收器时，加拿大投资组合的总溢出效应低于美国投资组合。这些投资组合优化结果表明，加拿大能源股票在 2008 年全球金融危机期间和整个样本期间的投资组合配置风险较低。