Do green energy markets catch cold when conventional energy markets sneeze?

Amar Rao, Brian Lucey, Satish Kumar and Weng Marc Lim
Authors registered in the RePEc Author Service: Satish Kumar and Satish Kumar

Energy Economics, 2023, vol. 127, issue PA

Abstract: This study analyzes the interconnectedness between conventional and green energy markets in terms of daily returns and volatility through a time and frequency connectedness perspective. Comparing conventional energy indicators like the S&P 500 Energy (ENERGY), S&P Global Oil Index (GOI), and Dow Jones Conventional Electricity Index (CEI) to green energy benchmarks such as the S&P Global Clean Energy Index (GCEI) and the S&P/TSX Renewable Energy and Clean Technology Index (RECTI), the findings highlight the heightened sensitivity of daily returns and volatility to shocks, especially at extreme quantiles, in the time domain. On the frequency spectrum, the connectedness patterns of conventional and green energy indices' daily returns and volatility to shocks vary, exhibiting fluctuating roles between transmission and reception. The dynamic connectedness highlights the interconnectedness between conventional and green energy markets. These findings underscore the need for risk management strategies and resilient investment approaches in energy markets.

Keywords: Connectedness; Energy market; Green energy; Daily return; Volatility (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005339

DOI: 10.1016/j.eneco.2023.107035

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