A time-varying Granger causality analysis between water stock and green stocks using novel approaches

Aviral Tiwari, Adeolu O. Adewuyi, Musefiu Adebowale Adeleke and Emmanuel Abakah

Energy Economics, 2023, vol. 126, issue C

Abstract: This study examined the Granger-causality between global water stock and global green stocks (MSCI global environmental index, global alternative energy index, global pollution prevention index and global green building index) using a battery of innovative causality methods with available daily data covering 23rd June 2009 to 23rd June 2022. Empirical results reveal many episodes of causality between global water stock and each of the global green stocks during the study period, including the post-global financial crisis and COVID-19 periods. The Granger-causality between the stocks was also noticed at different market periods and frequencies. Thus, the results confirmed the water-energy nexus and water-environment nexus. These results informed some policy recommendations to ensure sustainable economic development.

Keywords: Water stock; Green stocks; Time-frequency approach; Multi-scale Wavelet Causality approach; Sustainable economic development (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300508x

DOI: 10.1016/j.eneco.2023.107010

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