 Connectedness network and dependence structure mechanism in green investmentsAmanda Ivarsson Lundgren, Adriana Milicevic, Gazi Uddin and Sang Hoon Kang Energy Economics, 2018, vol. 72, issue C, 145-153 Abstract: We present an empirical study of renewable energy stock returns and their relation to four major investment asset classes—stocks, currency, US Treasury bonds, and oil—and several sources of uncertainty. Applying nonlinear causality and connectedness network analysis on data covering the period 2004–2016, we investigate the directionality and connectedness among different asset classes, as well as between uncertainties. First, from the results of the estimation of directionality and network spillovers, it can be concluded that the European stock market has a strong market dependence on renewable energy stock prices. Second, uncertainties have an economically significant impact on both return and volatility spillover in energy investments. Third, most of the uncertainties are net transmitters of volatility connectedness during the global financial crisis (GFC) and European sovereign debt crisis (ESDC). Keywords: Renewable energy; Non-renewable energy; Uncertainty; Causality; Connectedness network (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:72:y:2018:i:c:p:145-153 DOI: 10.1016/j.eneco.2018.04.015 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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