Do Rare Earths and Energy Commodities Drive Volatility Transmission in Sustainable Financial Markets? Evidence from China, Australia, and the US

Inzamam UI Haq, Hira Nadeem, Apichit Maneengam, Saowanee Samantreeporn, Nhan Huynh, Thasporn Kettanom and Worakamol Wisetsri ()
Additional contact information
Inzamam UI Haq: Business School, Liaoning University, Shenyang 110036, China
Hira Nadeem: Department of Management Sciences, Gift University, Gujranwala 52250, Pakistan
Apichit Maneengam: Department of Mechanical Engineering Technology, College of Industrial Technology, King Mongkut’s University of Technology North Bangkok, Wongsawang, Bangsue, Bangkok 10800, Thailand
Saowanee Samantreeporn: Faculty of Business Administration, Southeast Asia University, 19/1 Petchkasem Road, Nong Khaem, Bangkok 10160, Thailand
Nhan Huynh: Department of Applied Finance, Macquarie Business School, Macquarie University, Sydney 2109, Australia
Thasporn Kettanom: Educational Administration, Southeast Asia University, Bangkok 10160, Thailand
Worakamol Wisetsri: Department of Social Science, Faculty of Applied Arts, King Mongkut’s University of Technology North Bangkok (KMUTNB), Bangkok 10800, Thailand

IJFS, 2022, vol. 10, issue 3, 1-22

Abstract: The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements, energy commodities, and sustainable financial markets. The sample covers global and major financial markets, i.e., US, China, and Australia. Using daily log returns from 2018 to 2022, the paper considers the dynamic Time Varying Parameter-Vector Autoregression (TVP-VAR) connectedness approach to gauge the time-varying features of volatility spillovers. The findings of total spillovers index reveal weak connectedness among markets during the sampled period. US and China rare earth markets were net volatility transmitters, whereas the Dow Jones Australia Sustainability Index (ASI), China Sustainability Index (CSI), Dow Jones Sustainability World Index (SWI), and MVIS Global Rare Earth Index (MVISGREI) were net recipients. Moreover, energy commodities i.e., WTI Crude Oil, Gasoline, and Natural Gas were net volatility transmitters, while ASI, CSI, and SWI were major volatility recipients. The weak financial contagion effect and connectedness across financial markets uncovers possible diversification opportunities. However, the US sustainable financial market is persistently not affected by these volatility spillovers. Policymakers need to establish strict regulations to protect sustainable financial markets in China and Australia.

Keywords: rare earths; energy commodities; crude oil; sustainable financial markets; TVP-VAR model (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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