Time-Varying Financial Performance of Green and Traditional Energy Indices with Special Reference to the Covid-19 Context

Pascal Alphonse (), David Bourghelle (), Fredj Jawadi and Philippe Rozin
Additional contact information
Pascal Alphonse: LUMEN - Lille University Management Lab - ULR 4999 - Université de Lille
David Bourghelle: IAE Lille - IAE Lille University School of Management - Lille - Université de Lille

Post-Print from HAL

Abstract: This paper comparatively investigates the financial performance of traditional and green energy indices from 2010 up to the current context of Covid-19. In particular, we analyze whether the green finance index supplants the traditional class of energy indices and examine whether consideration of a green index could provide a useful hedging solution in the specific context of Covid-19, a situation marked by a significant health risk and high volatility in the energy sector. Accordingly, we estimate different performance ratios and present some interesting findings. In particular, we find evidence of volatility and time variation in the market beta, suggesting that, whether conventional or green, energy sector sensitivity in fact depends on the market state (bear versus bull). Further, financial performance appears to be time varying and regime-dependent. Indeed, the conventional energy sector outperforms in a bear market, while the green index shows stronger financial performance in a bull market. These results are of interest for both investors and portfolio managers, helping them to balance their investments and optimize their portfolios according to the state of the market or the price regime.

Date: 2021-10-27
References: Add references at CitEc
Citations:

Published in Bankers Markets & Investors : an academic & professional review, 2021, 166, pp.44-55. ⟨10.54695/bmi.166.6714⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Time-Varying Financial Performance of Green and Traditional Energy Indices with Special Reference to the COVID-19 Context (2024)
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:hal:journl:hal-04138260

DOI: 10.54695/bmi.166.6714

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().