Does the energy sector serve as a hedge and safe haven?

A. S. M. Sohel Azad (), Aziz Hayat () and Huson Joher Ali Ahmed ()
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A. S. M. Sohel Azad: Deakin University
Aziz Hayat: Deakin University
Huson Joher Ali Ahmed: Prince Mohammad Bin Fahad University

Annals of Operations Research, 2024, vol. 339, issue 1, No 15, 369-395

Abstract: Abstract This paper compares the hedging and safe haven properties of clean (renewable) energy and unclean (non-renewable) energy stocks. Using around 20 years of monthly clean and unclean energy indices and applying the GARCH and quantile regression models with dummy variables, we find that likewise the unclean energy stocks renewable energy stocks provide a weak hedge and a safe haven against the global economic policy uncertainty and its extreme values even during the pandemic and low and high return environments. These findings suggest that clean energy stocks provide immunity to investors against unfavourable changes to economic policy uncertainty and market volatility.

Keywords: Clean energy; Unclean energy; Hedge; Safe haven; Asymmetric factor spline GARCH; Quantile regression; COVID-19 (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10479-023-05707-6

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