Volatility spillovers and frequency dependence between oil price shocks and green stock markets

Resources Policy, Год журнала: 2023, Номер 85, С. 103860 - 103860

Опубликована: Июль 8, 2023

This study uses wavelet coherence and frequency connectedness techniques to examine the time-frequency dependence risk connectivity between oil shocks green stocks. The results show that on mid-term long-term scales, relationships stock markets are tighter while lead-lag patterns mixed time-varying. Total spillovers mostly conveyed over time. Risk from market substantially larger in market. Furthermore, global crises such as Great Recession, price collapse, COVID-19 pandemic have amplified magnitude of spillovers. Overall, has not yet developed enough potential for a independence conventional energy Hence, participants financial who different time horizons asset allocation management committed investors particular, examination can be quite beneficial.

Язык: Английский

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Asymmetric volatility spillovers among new energy, ESG, green bond and carbon markets

Energy, Год журнала: 2024, Номер 292, С. 130504 - 130504

Опубликована: Янв. 27, 2024

Язык: Английский

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Return and volatility spillovers among oil price shocks and international green bond markets

Research in International Business and Finance, Год журнала: 2024, Номер 69, С. 102254 - 102254

Опубликована: Фев. 2, 2024

Язык: Английский

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The effect of climate vulnerability on global carbon emissions: Evidence from a spatial convergence perspective

Resources Policy, Год журнала: 2024, Номер 90, С. 104817 - 104817

Опубликована: Фев. 24, 2024

Язык: Английский

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The contagion of extreme risks between fossil and green energy markets: evidence from China

Quantitative Finance, Год журнала: 2024, Номер 24(5), С. 627 - 642

Опубликована: Май 3, 2024

This paper combines the Generalized Autoregressive Conditional Heteroskedasticity-Extreme Value Theory-Value at Risk (GARCH-EVT-VaR) method in conjunction with Time-Varying Parameter Diebold-Yilmaz (TVP-VAR-DY) model to investigate contagion of extreme risks between fossil and green energy markets China. Specifically, study concentrates on coal, crude oil, natural gas as representative sectors for energy, while bonds, investments, power, associated new are chosen representatives sector. Our analysis reveals that events can rapidly propagate markets, particularly during significant shifts external environment. Notably, exhibit greater susceptibility severe compared their counterparts, indicative instability immaturity. Moreover, highlights bond market's heightened sensitivity risks, investments playing a pivotal role propagating such throughout system. These insights underscore intricate dynamics risk emphasizing need comprehensive management strategies both sectors.

Язык: Английский

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Impact of natural resources, resilient economic growth, and energy consumption on CO2 emissions

Resources Policy, Год журнала: 2024, Номер 90, С. 104714 - 104714

Опубликована: Фев. 20, 2024

Язык: Английский

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Moving towards sustainable city: Can China's green finance policy lead to sustainable development of cities?

Sustainable Cities and Society, Год журнала: 2024, Номер 102, С. 105242 - 105242

Опубликована: Янв. 27, 2024

Язык: Английский

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Extreme weather, policy uncertainty, and risk spillovers between energy, financial, and carbon markets

Energy Economics, Год журнала: 2024, Номер 137, С. 107761 - 107761

Опубликована: Июль 10, 2024

Язык: Английский

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Modeling extreme risk spillovers between crude oil and Chinese energy futures markets

Energy Economics, Год журнала: 2023, Номер 126, С. 107007 - 107007

Опубликована: Сен. 9, 2023

Язык: Английский

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How does carbon market interact with energy and sectoral stocks? Evidence from risk spillover and wavelet coherence

Journal of commodity markets, Год журнала: 2024, Номер 33, С. 100386 - 100386

Опубликована: Фев. 4, 2024

Язык: Английский

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