Time and quantile persistence and efficiency of clean, green, and sustainable markets

Oktay Özkan (), Seyi Akadiri, Andrews Alola () and Ojonugwa Usman ()
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Oktay Özkan: Department of Business Administration, Faculty of Economics and Administrative Sciences, Tokat Gaziosmanpasa University
Andrews Alola: Centre for Research on Digitalization and Sustainability, University of Inland Norway

Letters in Spatial and Resource Sciences, 2025, vol. 18, issue 1, No 16, 14 pages

Abstract: Abstract This study examines the time and quantile persistence and efficiency of clean, green, and sustainable markets by incorporating rolling window and quantile analyses into a standard Augmented Dickey–Fuller unit root test. Using the S&P Global Clean Energy Index (SPGCEI), S&P Green Bond Index (SPGBI), and Dow Jones Sustainability World Index (DJSWI) to measure clean, green, and sustainable markets, our study finds evidence of non-persistence and market inefficiency in most quantiles and time except the 20th quantile for the clean energy market. This implies that in most quantiles and time, the future prices in the clean energy, green, and sustainable markets can be predicted by their previous values, refuting the efficient market hypothesis. The policy implications of this study are highlighted to assist global investors diversifying their investment portfolios.

Keywords: Clean energy market; Green market; Sustainable market; Rolling-Window quantile ADF test; Rolling-Window quantile PP test (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s12076-025-00410-5

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