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Connectedness network and dependence structure mechanism in green investments
Prognoscentret AB, Sweden.
Swedbank AB, Sweden.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Pusan Natl Univ, South Korea.
2018 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 72, p. 145-153Article in journal (Refereed) Published
Abstract [en]

We present an empirical study of renewable energy stock returns and their relation to four major investment asset classes stocks, currency, US Treasury bonds, and oil and several sources of uncertainty. Applying nonlinear causality and connectedness network analysis on data covering the period 2004-2016, we investigate the directionality and connectedness among different asset classes, as well as between uncertainties. First, from the results of the estimation of directionality and network spillovers, it can be concluded that the European stock market has a strong market dependence on renewable energy stock prices. Second, uncertainties have an economically significant impact on both return and volatility spillover in energy investments. Third, most of the uncertainties are net transmitters of volatility connectedness during the global financial crisis (GFC) and European sovereign debt crisis (ESDC): (C) 2018 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2018. Vol. 72, p. 145-153
Keywords [en]
Renewable energy; Non-renewable energy; Uncertainty; Causality; Connectedness network
National Category
Economic History
Identifiers
URN: urn:nbn:se:liu:diva-151218DOI: 10.1016/j.eneco.2018.04.015ISI: 000442019700011OAI: oai:DiVA.org:liu-151218DiVA, id: diva2:1248018
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation; Ministry of Education of the Republic of Korea; National Research Foundation of Korea [NRF-2017S1A5A8019204]

Available from: 2018-09-13 Created: 2018-09-13 Last updated: 2018-09-13

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