Are clean energy markets hedges for stock markets? A tail quantile connectedness regression

Salem Adel Ziadat, Walid Mensi, Sami Al-Kharusi, Xuan Vinh Vo and Sang Hoon Kang

Energy Economics, 2024, vol. 136, issue C

Abstract: Acknowledging the long-term potential of alternative energy sources, this paper examines the quantile frequency connectedness between clean energy markets and international stock markets, with implications related to hedging effectiveness. The main results point out that spillovers run from the US, the EU, the UK, and the Renewable Energy and Clean Technology Index to Japan and the Global Clean Energy Index. Furthermore, while the transmissions are concentrated in the short run during normal (0.5) and bull market (0.95) conditions, they extend to intermediate and long-term amid busting market (0,05 quantile) states, signifying a long-lasting impact that cannot be absorbed in the short run. Notably, clean energy index roles in information transmissions range from a net sender (Renewable Energy and Clean Technology Index), isolated (Green Bond Index), and a net receiver (Global Clean Energy Index). From a multivariant portfolio design perspective, we notice that a substantial weight should be allocated to clean energy assets, WTI, and CSI300 when compared with the rest of the financial markets. Moreover, the low (high) volatility regime yields lower (higher) weights than the ones reported in the mean state, but the results remain largely similar. Bivariant portfolio weights show that GB should have substantial weight when paired with all assets.

Keywords: Clean energy; Stocks; Spillover; Portfolio management (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988324004651
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:s0140988324004651

DOI: 10.1016/j.eneco.2024.107757

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 ().