Spillover effects between fossil energy and green markets: Evidence from informational inefficiency

Xiaohang Ren, Ya Xiao, Kun Duan and Andrew Urquhart

Energy Economics, 2024, vol. 131, issue C

Abstract: This paper builds an indicator of the market inefficiency degree by quantifying the extent of the market deviation from an efficient status. From a novel perspective of informational inefficiency, we further model the dynamic spillover effects between fossil energy and green markets by using a time-varying parameter vector autoregressive (TVP-VAR) model. Our findings indicate that the market inefficiency degree and its spillovers exhibit evident time-varying dynamics and are sensitive to extreme events. The international crude oil benchmarks serve as the most significant information transmitter and receiver in the spillover network of market inefficiency. Within green-related markets, carbon market demonstrates the strongest correlation with the fossil energy markets. Additional analyses involving consideration of economic policy uncertainty reassure the robustness of our findings.

Keywords: Energy markets; Green markets; Market inefficiency; Spillover effects (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000252

DOI: 10.1016/j.eneco.2024.107317

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