Vulnerability of sustainable markets to fossil energy shocks
Yiying Li,
Xiaohang Ren and
Farhad Taghizadeh-Hesary
Resources Policy, 2023, vol. 85, issue PB
Abstract:
From a market efficiency perspective, this study investigates the performance of sustainable markets under oil price shocks, including green bonds, clean energy, and carbon futures markets. This study assesses the one-way Granger causal impact caused by oil price shocks on the efficiency of sustainable markets, revealing that sustainable markets are vulnerable to oil price shocks initially. Our quantile-based regression results indicate that all three types of oil price shocks could have a long-term adverse effect on the effectiveness of these markets, confirming that sustainable markets are highly susceptible to oil price shocks. For each of these sustainable market efficiency, the primary role of oil price shocks varies. Additionally, the intensity and direction of the effects of these oil shocks can also be confused by the time dimension and quantile level. Our analysis shows that there is still a need for enhancement in the risk resistance of sustainable markets to fossil energy shocks. The findings could inform stakeholders’ investment strategies or policy arrangements in more detail and in more aspects.
Keywords: Market efficiency; Sustainable markets; Oil shocks; Long-memory method (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (4)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005901
DOI: 10.1016/j.resourpol.2023.103879
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