Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective

Hao Ji, Muhammad Naeem, Jing Zhang and Aviral Tiwari

Energy Economics, 2024, vol. 136, issue C

Abstract: Due to the fundamental position of energy, the dynamics of the energy ETF markets are of great interest when facing unexpected event shocks. To explore the volatility spillovers within the energy ETF market and with other related markets under event shocks, we use the PCA method to extract macroeconomic factor series (ME) from four types of ETF return series. Then, we apply the DCC-GARCH-Copula model to analyze the dynamic correlation between the energy EFTs and the MEs as well as the related ETFs. Finally, the TVP-VAR-DY index is used to explore the spillover relationship between these markets in terms of spillover impact. The findings suggest that the clean energy ETFs have a greater volatility pass-through to real estate, while the volatility pass-through of energy ETFs to gold is stronger in all cases. Total connectivity in these markets exhibits different performances at different stages during the sample period, reaching its peak during the global COVID-19. These findings support investors to adjust their asset portfolios in a timely manner in the face of shocks while helping regulators strategize more effectively.

Keywords: Energy ETFs; DCC-GARCH copula; TVP-VAR-DY index (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S014098832400389X
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:136:y:2024:i:c:s014098832400389x

DOI: 10.1016/j.eneco.2024.107681

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 ().