Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach

Elie Bouri (), Naji Jalkh, Anupam Dutta and Gazi Uddin

Energy, 2019, vol. 178, issue C, 544-553

Abstract: In this study, we examine the potential roles of gold and crude oil as safe-haven assets against extreme down movements in clean energy stock indices. We employ copulas on daily data from November 21st, 2003 to March 30th, 2018 covering two clean energy stock indices, the S&P Global Clean Energy and the WilderHill Clean Energy. Instead of adopting a priori selection of the best copula function based on a single copula, we consider single and mixture copulas to better illustrate the dependence between the pairs of variables under study. We also apply parametric as well as non-parametric tail dependencies measures. Empirical results show that both crude oil and gold are no more than weak safe-haven assets for clean energy indices. However, the superiority of crude oil to gold is evidenced in case of infinitely extreme market movements. This superiority is validated for WilderHill Clean Energy Index but endorsed to gold when examined against Global Clean Energy Index, in extreme market movements.

Keywords: Safe-haven; Gold; Crude oil; Clean energy stock indices; Tail-dependence; Copula (search for similar items in EconPapers)
JEL-codes: C50 G10 Q40 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (111)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0360544219307881
Full text for ScienceDirect subscribers only

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:eee:energy:v:178:y:2019:i:c:p:544-553

DOI: 10.1016/j.energy.2019.04.155

Access Statistics for this article

Energy is currently edited by Henrik Lund and Mark J. Kaiser

More articles in Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().