Global S&T Development Trend Analysis Platform of Resources and Environment
Dynamics of Connectedness in Clean Energy Stocks | |
Fernanda Fuentes; Rodrigo Herrera | |
2020-07-30 | |
出版年 | 2020 |
国家 | 瑞典 |
领域 | 资源环境 |
英文摘要 | This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities markets—the crude oil and gold markets. The empirical results show a unidirectional connectedness from the implied volatility indices to the clean energy stocks. Our analysis further reveals similar volatility connectedness behaviors among companies in the same energy production subsector. However, there exists heterogeneous behavior between different energy production subsectors over time. Further, we identify pairwise directional connectedness clusters among related companies, indicating that there are few possibilities for portfolio diversification within the energy production subsectors. Finally, through an impulse–response analysis, we confirm that the expectation of future market volatility of the S&P 500 index and the gold price plays a leading role in volatility connectedness with clean energy stocks. |
URL | 查看原文 |
来源平台 | Environment for Development Initiative |
文献类型 | 科技报告 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/286387 |
专题 | 资源环境科学 |
推荐引用方式 GB/T 7714 | Fernanda Fuentes,Rodrigo Herrera. Dynamics of Connectedness in Clean Energy Stocks,2020. |
条目包含的文件 | 条目无相关文件。 |
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