The impact of economic uncertainty caused by COVID-19 on renewable energy stocks

Tiantian Liu (), Tadahiro Nakajima and Shigeyuki Hamori
Additional contact information
Tiantian Liu: Kobe University

Empirical Economics, 2022, vol. 62, issue 4, No 1, 1495-1515

Abstract: Abstract By employing time–frequency-domain frameworks, this study analyzes the spillover effects of news-based economic uncertainty caused by the pandemic on three renewable energy stock indices in the USA, Europe, and the world. The empirical results reveal that the total spillover from economic uncertainty to the three renewable energy stock returns was concentrated at a high frequency, whereas those to volatilities appeared at low frequencies. Utilizing a rolling-window method, we observed that the impact of uncertainty caused by COVID-19 on three renewable energy stock returns and volatilities is more significant than that resulting from the global financial crisis (GFC). During COVID-19, the majority of the spillover effects from economic uncertainty to returns and volatilities of the three indices focused on the long term.

Keywords: Uncertainty; Renewable energy stock; Spillover effects; COVID-19 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://link.springer.com/10.1007/s00181-021-02087-3 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:empeco:v:62:y:2022:i:4:d:10.1007_s00181-021-02087-3

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-021-02087-3

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().