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2024 | OriginalPaper | Buchkapitel

Time-Scale Behaviour of Co-movements Between Renewable Energy Stocks and Other Financial Assets

verfasst von : Sercan Demiralay, Hatice Gaye Gencer, Selçuk Bayraci

Erschienen in: Transition to the Circular Economy Model

Verlag: Springer Nature Switzerland

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Abstract

This paper examines time-frequency co-movements between alternative energy indices and other financial assets, namely, gold, oil, technology equities, oil & gas stocks, the VIX, and bond yields, using wavelet coherence analysis. The main findings show that the linkages are weak in the short run; however, long-term interactions are significantly strong. Our analyses reveal that the renewable energy returns are closely related to those of the technology stocks. Fossil fuel sector has a significant weight in global equity markets, and we find strong positive linkages between oil & gas companies and renewable energy sector, which are more pronounced than the co-movements between oil prices and alternative energy indices. Our results indicate potential diversification benefits of gold, bonds and the VIX for the renewable energy equities as the coherences in the time and scale domain are relatively weak. We further analyse if the cross-market interlinkages significantly change during the COVID-19 pandemic. Our results provide evidence of higher scale-dependent rolling correlations, mostly for long-term investment horizons, in the wake of the pandemic, implying the presence of contagion effects. The results provide important insights for practitioners and scholars in terms of portfolio construction and can enhance the implementation of relevant policies to promote investments in clean energy sector.

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Fußnoten
1
In 1954, the Obninsk Nuclear Power Plant was established as the world’s first nuclear power station in the then Soviet Union and currently there are about 450 plants operating in the World (see www.​iaea.​org).
 
2
The Fukushima nuclear accident prompted German government to enact the permanent shut-down of its nuclear power stations until 2022 (see Bohl et al., 2013).
 
3
The S&P Global Nuclear Energy Index is a worldwide index consisting 24 companies in nuclear businesses and the S&P Global Clean Energy Index is comprised of 30 companies that are in clean energy-related businesses (see Ferstl et al., 2012).
 
4
In this paper, renewable energy, clean energy, new energy and alternative energy are all used interchangeably.
 
5
See International Energy Agency Reports for 2009 at https://​www.​iea.​org/​reports/​world-energy-outlook-2009 and also Sadorsky (2012) for a brief summary of the report.
 
7
See Henriques and Sadorsky (2018) for a detailed discussion of divestments.
 
8
See http://​gofossilfree.​org and Arabella Advisors (2018) among others for a detailed list of divestments.
 
9
Bos and Gupta suggest that stranded assets are assets that lose their economic value before the end of their useful life as the result of changes in market forces, technological innovations, societal norms, legislation and environmental conditions.
 
10
See Narayan and Sharma (2011) among others.
 
11
See Henriques and Sadorsky (2008) among others.
 
12
Following Ortas and Moneva (2013), we prefer to use full sample for each energy index to provide a more comprehensive overview rather than loosing information.
 
13
The descriptive statistics of variables is available upon request.
 
14
The wavelet coherency plots, together with the phase differences are available upon request.
 
15
The rolling wavelet correlations plots are available upon request.
 
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Metadaten
Titel
Time-Scale Behaviour of Co-movements Between Renewable Energy Stocks and Other Financial Assets
verfasst von
Sercan Demiralay
Hatice Gaye Gencer
Selçuk Bayraci
Copyright-Jahr
2024
DOI
https://doi.org/10.1007/978-3-031-52700-5_9

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