Sustainability;
Connectedness;
Green energy assets;
Green energy policy;
AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY;
IMPULSE-RESPONSE ANALYSIS;
OIL PRICE UNCERTAINTY;
CRUDE-OIL;
CO-MOVEMENT;
CAUSALITY;
RETURNS;
STOCKS;
RISK;
CONNECTEDNESS;
D O I:
10.1016/j.eneco.2023.107224
中图分类号:
F [经济];
学科分类号:
02 ;
摘要:
How influential are green energy instruments? We examine how green-and carbon-energy assets differ regarding transmitting and receiving shocks between normal versus crises periods. Crises include the global financial crisis and Euro debt crisis, two waves of COVID-19, and the ongoing Russia-Ukrainian war. Our empirical illustration is based on volatility impulse function (VIRF) for dynamic conditional correlation-generalised autoregressive conditional heteroskedasticity (DCC-GARCH) method using daily data from January 03, 2007-March 31, 2023, of several green and brown energy instruments and market and energy controls, we evidence asymmetric connectedness that increases during crises. For specific green instruments, volatility transmissions can be transmitting or receiving. However, green instruments stand out overall as prominent transmitters, while brown energy instruments are prominent receivers. Results are consistent with green energy vehicles impacted by macroeconomic and market states and reflecting this to investors. Results are also consistent with green and brown interconnectivity. Further network analysis provides robustness to our study results and suggests this role is evolving. The study results are significant for policy intervention during the transition to alternative energy sectors and for risk and portfolio management implications.
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Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Xiamen Univ, Innovat Lab Sci & Technol Energy Mat Fujian Prov, Xiamen 361101, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Gong, Xu
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Shi, Rong
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Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Shi, Rong
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Xu, Jun
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h-index: 0
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Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Xu, Jun
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Lin, Boqiang
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h-index: 0
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Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Xiamen Univ, Innovat Lab Sci & Technol Energy Mat Fujian Prov, Xiamen 361101, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
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City Univ Hong Kong, Dept Econ & Finance, Kowloon, Hong Kong, Peoples R ChinaCity Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
He, Angela W. W.
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Kwok, Jerry T. K.
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City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R ChinaCity Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
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Wan, Alan T. K.
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City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R ChinaCity Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
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Shandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
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Shandong Univ, Business Sch, Dept Management Sci, Weihai 264209, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
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Lin, Borong
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Tsinghua Univ, Sch Architecture, Dept Bldg Sci, Beijing 100084, Peoples R China
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Tsinghua Univ, Sch Architecture, Dept Bldg Sci, Beijing 100084, Peoples R China
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Shandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
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Cornell Univ, Dept Econ, Ithaca, NY 14853 USA
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Lei, Lijun
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Zhang, Yaping
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h-index: 0
机构:Wuhan Univ, China Inst Dev Strategy & Planning, Wuhan 430072, Peoples R China
机构:
Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Xiamen Univ, Innovat Lab Sci & Technol Energy Mat Fujian Prov, Xiamen 361101, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Gong, Xu
;
Shi, Rong
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h-index: 0
机构:
Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Shi, Rong
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Xu, Jun
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h-index: 0
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Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Xu, Jun
;
Lin, Boqiang
论文数: 0引用数: 0
h-index: 0
机构:
Xiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
Xiamen Univ, Innovat Lab Sci & Technol Energy Mat Fujian Prov, Xiamen 361101, Peoples R ChinaXiamen Univ, China Inst Studies Energy Policy, Sch Management, Xiamen 361005, Peoples R China
机构:
City Univ Hong Kong, Dept Econ & Finance, Kowloon, Hong Kong, Peoples R ChinaCity Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
He, Angela W. W.
;
Kwok, Jerry T. K.
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h-index: 0
机构:
City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R ChinaCity Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
Kwok, Jerry T. K.
;
Wan, Alan T. K.
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h-index: 0
机构:
City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R ChinaCity Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China
机构:
Shandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
He, Wenhua
;
Liu, Pei
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h-index: 0
机构:
Shandong Univ, Business Sch, Dept Management Sci, Weihai 264209, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
Liu, Pei
;
Lin, Borong
论文数: 0引用数: 0
h-index: 0
机构:
Tsinghua Univ, Sch Architecture, Dept Bldg Sci, Beijing 100084, Peoples R China
Tsinghua Univ, Minist Educ, Key Lab Eco Planning & Green Bldg, Beijing 100084, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
Lin, Borong
;
Zhou, Hao
论文数: 0引用数: 0
h-index: 0
机构:
Tsinghua Univ, Sch Architecture, Dept Bldg Sci, Beijing 100084, Peoples R China
Tsinghua Univ, Think Tank Ctr, Beijing 100084, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
Zhou, Hao
;
Chen, Xuesheng
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h-index: 0
机构:
Shandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R ChinaShandong Univ, Business Sch, Dept Finance, Weihai 264209, Peoples R China
机构:
Cornell Univ, Dept Econ, Ithaca, NY 14853 USA
Cornell Univ, Dept Stat Sci, Ithaca, NY 14853 USA
Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Fujian, Peoples R ChinaCornell Univ, Dept Econ, Ithaca, NY 14853 USA
Hong, Yongmiao
;
Liu, Yanhui
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h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R ChinaCornell Univ, Dept Econ, Ithaca, NY 14853 USA
Liu, Yanhui
;
Wang, Shouyang
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h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R ChinaCornell Univ, Dept Econ, Ithaca, NY 14853 USA
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Beihang Univ, Sch Econ & Management, Beijing, Peoples R China
Beihang Univ, Shen Yuan Honors Coll, Beijing, Peoples R China
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Huang, Wenyang
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h-index: 0
机构:
Beihang Univ, Sch Econ & Management, Beijing, Peoples R China
Beihang Univ, Key Lab Complex Syst Anal, Management & Decis, Minist Educ, Beijing, Peoples R ChinaBeihang Univ, Sch Econ & Management, Beijing, Peoples R China
Wang, Huiwen
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Qin, Haotong
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h-index: 0
机构:
Beihang Univ, Shen Yuan Honors Coll, Beijing, Peoples R China
Beihang Univ, State Key Lab Software Dev Environm, Beijing, Peoples R ChinaBeihang Univ, Sch Econ & Management, Beijing, Peoples R China
Qin, Haotong
;
Wei, Yigang
论文数: 0引用数: 0
h-index: 0
机构:
Beihang Univ, Sch Econ & Management, Beijing, Peoples R China
Beijing Key Lab Emergency Support Simulat Technol, Beijing, Peoples R China
Beihang Univ, Lab Low carbon Intelligent Governance, Beijing, Peoples R ChinaBeihang Univ, Sch Econ & Management, Beijing, Peoples R China
机构:
Wuhan Univ, China Inst Dev Strategy & Planning, Wuhan 430072, Peoples R ChinaWuhan Univ, China Inst Dev Strategy & Planning, Wuhan 430072, Peoples R China
Huang, Yongming
;
Chen, Chen
论文数: 0引用数: 0
h-index: 0
机构:
Wuhan Univ, China Inst Dev Strategy & Planning, Wuhan 430072, Peoples R ChinaWuhan Univ, China Inst Dev Strategy & Planning, Wuhan 430072, Peoples R China
Chen, Chen
;
Lei, Lijun
论文数: 0引用数: 0
h-index: 0
机构:Wuhan Univ, China Inst Dev Strategy & Planning, Wuhan 430072, Peoples R China
Lei, Lijun
;
Zhang, Yaping
论文数: 0引用数: 0
h-index: 0
机构:Wuhan Univ, China Inst Dev Strategy & Planning, Wuhan 430072, Peoples R China