 Extreme quantile spillovers and drivers among clean energy, electricity and energy metals marketsHongwei Zhang, Yubo Zhang, Wang Gao and Yingli Li International Review of Financial Analysis, 2023, vol. 86, issue C Abstract: This paper examines return and volatility spillover effects among the clean energy (electric vehicles, solar and wind), electricity and 8 energy metals (silver, tin, nickel, cobalt, lead, zinc, aluminum and copper) markets and their drivers under the conditions of the mean and extreme quantiles. The results show moderate spillovers among the clean energy, electricity and energy metals markets, and greater connectivity among the three markets under extreme quantile conditions. Among them, the clean energy markets always play the role of the transmitter, and the electricity market always plays the role of the receiver of spillover effects. In addition, the return and volatility spillovers among the three markets have remarkable time-varying features, and they increase dramatically when extreme events occur, especially under extreme quantile conditions. Finally, we reveal the drivers of return and volatility spillovers among these markets by the OLS and quantile regression methods. The COVID-19 and the Arca Tech 100 (PSE) index are found to be important drivers. Keywords: Electricity; Clean energy; Energy metals; Extreme quantile; Drivers (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004240 DOI: 10.1016/j.irfa.2022.102474 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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