Testing for Persistence in German Green and Brown Stock Market Indices

Guglielmo Maria Caporale, Luis Gil-Alana, Sakiru A. Solarin and Olaoluwa Yaya

No 11207, CESifo Working Paper Series from CESifo

Abstract: This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf, Frankfurt, Gettex, Munich, and Stuttgart stock exchanges over the period from 13 May 2019 to 8 May 2024. The results indicate a higher degree of persistence in the case of green stock prices vis-à-vis brown ones, although the differences are not statistically significant over the full sample. However, when splitting the sample into three subperiods (pre-Covid-19, Covid-19 and post-Covid-19), statistically significant differences are found, especially during the pandemic period. Moreover, the estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence and shorter half-lives in the case of brown stocks.

Keywords: green stocks; brown stocks; fractional integration persistence; Covid-19 pandemic; Germany (search for similar items in EconPapers)
JEL-codes: C22 G10 Q50 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-ene and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp11207.pdf (application/pdf)

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:ces:ceswps:_11207

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().