Commonality in volatility among green, brown, and sustainable energy indices

Ameet Kumar Banerjee, Ahmet Sensoy, Molla Ramizur Rahman and Alessia Palma

Finance Research Letters, 2024, vol. 64, issue C

Abstract: Based on research conducted by Chordia et al. in 2000, we analyzed the volatility of energy indices to determine whether there is a commonality among them. Our dataset included green, sustainable, and brown energy indices, and we discovered that there is indeed a commonality in energy markets, with brown energy exhibiting the least commonality. Furthermore, we found that the commonality in volatility among energy markets has decreased since the Paris Agreement was signed. These results indicate that the Paris Agreement and other global policy initiatives are crucial for energy markets.

Keywords: Volatility commonality; Comovement; Paris Agreement; Energy indices (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004148

DOI: 10.1016/j.frl.2024.105384

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