Precious metals as safe-haven for clean energy stock investment: Evidence from nonparametric Granger causality in distribution test

Seyfettin Erdoğan, Ayfer Gedikli, Emrah Çevik, Fatma Erdoğan and Emre Çevik

Resources Policy, 2022, vol. 79, issue C

Abstract: The study aims to examine the connectedness between clean energy stocks and precious metals prices under the different market episodes. We employ the Granger causality-in-the distribution test proposed by Candelon and Tokpavi (2016) to investigate the presence of a causality relationship between the variables for the whole distribution because the test has superior power even if the sample size is small. WilderHill Clean Energy Index is considered a benchmark for the clean energy stock market and gold, silver, platinum, and palladium prices are used for the precious metals. By using daily data from January 1, 2001, to December 12, 2021, we find that there is a unidirectional causal link running from the clean energy stock returns to the precious metal prices in the center and the left tail of the distribution. On the other hand, there is strong feedback between the variables in the right tail of the distribution. These results show that clean energy stock prices have an edge in affecting precious metal prices and precious metals cannot be used to hedge the downside risk of clean energy stock investments.

Keywords: Clean energy; Precious metals; Gold; Causality; Hedging (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722003890

DOI: 10.1016/j.resourpol.2022.102945

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