Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic

Azhar Mohamad and Vincent Fromentin

Energy Economics, 2023, vol. 126, issue C

Abstract: This paper examines herd behaviour, causality dynamics and dynamic relationships among energy commodities, namely WTI, Brent, gasoline and natural gas, and ethical energy investment indices (S&P Global clean energy, WilderHill clean energy and NASDAQ clean edge green energy) in different phases of the COVID-19 pandemic. Our dataset spans four and a half years of daily data, from August 2018 to February 2023. Unintentional herding behaviour is observed in about 20% between energy commodities and between 10 and 15% between ethical investment indices, and is spread across different phases of the pandemic. WTI is the largest source of time-varying Granger causality to other energy commodities and ethical investment indices at the beginning of the pandemic and remains so after the pandemic. Finally, our wavelet coherence analysis shows that natural gas is decoupled from crude oil and gasoline markets and is not affected by the pandemic.

Keywords: Crude oil; Energy commodity; Ethical investment; Herding; Time-varying Granger causality (TVGC); Wavelet coherence; Markov Chain Monte Carlo (MCMC) (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988323004991
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:126:y:2023:i:c:s0140988323004991

DOI: 10.1016/j.eneco.2023.107001

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 ().