Return spillovers between green energy indexes and financial markets: a first sectoral approach

Capucine Nobletz ()
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Capucine Nobletz: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper assesses the interconnectedness between global green energy and sectoral stock indexes. We show that green energy return spillovers need to be monitored. The green energy index has a significant degree of financial openness, and it is tightly interconnected with sectors producing similar goods as materials or industrials. Over time, the green energy return spillovers vary according to global events and economic/financial uncertainties. Spillovers rose during the pandemic crisis, illustrating the "fly to liquidity" mechanism.

Keywords: Marchés financiers; Indices boursiers verts; Indices sectoriels; Analyse de réseaux (search for similar items in EconPapers)
Date: 2021
Note: View the original document on HAL open archive server: https://hal.science/hal-04159745
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