An empirical analysis of the dynamic relationship between clean and dirty energy markets

Aviral Tiwari, Nader Trabelsi, Emmanuel Abakah, Samia Nasreen and Chien-Chiang Lee ()

Energy Economics, 2023, vol. 124, issue C

Abstract: This research provides an empirical analysis of the dynamic relationship between clean and dirty energy markets. Specifically, we use Brent crude, West-Texas-Intermediate (WTI) crude, OPEC oil, Crude oil Oman and Crude Oil Dubai to denote dirty energy markets and use the S&P Global Clean Energy Index and WilderHill New Energy Global Innovation Index as a representative of the clean energy market. The time-frequency wavelet's multiple cross-correlation and cross-quantilogram correlation are used as estimation techniques to examine time-dependent wavelet cross-correlation and directional predictability, respectively. We use daily returns spanning from November 2013 to September 2020. Findings from the cross-quantilogram correlation (CQC) results suggest heterogeneous quantile dependence dynamics from clean energy markets to dirty energy markets. Additionally, findings from the cross-quantile correlation results reveal positive and negative directional predictability between clean and dirty energy markets in high, medium and low quantile ranges. Second, results from the time-frequency wavelets multiple cross-correlation approach suggest that clean and dirty energy markets are marginally integrated at the lowest frequencies, with dirty energy emerging as a predictive power of clean energy. In addition, we also find that the co-movements between the clean and dirty energy sources are volatile in the medium and long term, thus reducing the medium- and long-term diversification sphere. These findings are relevant for portfolio managers and clean energy producers.

Keywords: Energy markets; Quantile dependence; Wavelets cross-correlation; Clean and dirty energy markets (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988323002645
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002645

DOI: 10.1016/j.eneco.2023.106766

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().