Time-Scale Behaviour of Co-movements Between Renewable Energy Stocks and Other Financial Assets

Sercan Demiralay (), Hatice Gaye Gencer () and Selçuk Bayraci ()
Additional contact information
Sercan Demiralay: Nottingham Trent University
Hatice Gaye Gencer: Yeditepe University
Selçuk Bayraci: Borusan Otomotiv

A chapter in Transition to the Circular Economy Model, 2024, pp 105-132 from Springer

Abstract: Abstract This paper examines time-frequency co-movements between alternative energy indices and other financial assets, namely, gold, oil, technology equities, oil & gas stocks, the VIX, and bond yields, using wavelet coherence analysis. The main findings show that the linkages are weak in the short run; however, long-term interactions are significantly strong. Our analyses reveal that the renewable energy returns are closely related to those of the technology stocks. Fossil fuel sector has a significant weight in global equity markets, and we find strong positive linkages between oil & gas companies and renewable energy sector, which are more pronounced than the co-movements between oil prices and alternative energy indices. Our results indicate potential diversification benefits of gold, bonds and the VIX for the renewable energy equities as the coherences in the time and scale domain are relatively weak. We further analyse if the cross-market interlinkages significantly change during the COVID-19 pandemic. Our results provide evidence of higher scale-dependent rolling correlations, mostly for long-term investment horizons, in the wake of the pandemic, implying the presence of contagion effects. The results provide important insights for practitioners and scholars in terms of portfolio construction and can enhance the implementation of relevant policies to promote investments in clean energy sector.

Keywords: Energy indices; Financial assets; Renewable energy; Wavelet coherence analysis (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:csrchp:978-3-031-52700-5_9

Ordering information: This item can be ordered from
http://www.springer.com/9783031527005

DOI: 10.1007/978-3-031-52700-5_9

Access Statistics for this chapter

More chapters in CSR, Sustainability, Ethics & Governance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().