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Connectedness and co-movement between dirty energy, clean energy and global COVOL

Author

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  • Lang, Chunlin
  • Hu, Yang
  • Goodell, John W.
  • Hou, Yang (Greg)

Abstract

This paper examines dynamic connectedness and co-movement between dirty energy, clean energy and the global COVOL measure of Engle and Campos-Martins (2023) between January 2015 and May 2023 based on aggregated connectedness and wavelet coherence approaches. Our results show that COVOL and dirty energy are more closely linked in times of COVID-19 and geopolitical instability, while clean energy is more isolated from geopolitical events. Moreover, the coherence between dirty and clean energy markets is weaker after 2020, consistent with a decoupling hypothesis between dirty energy and clean energy.

Suggested Citation

  • Lang, Chunlin & Hu, Yang & Goodell, John W. & Hou, Yang (Greg), 2024. "Connectedness and co-movement between dirty energy, clean energy and global COVOL," Finance Research Letters, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003349
    DOI: 10.1016/j.frl.2024.105304
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    More about this item

    Keywords

    COVOL; Dirty energy; Clean energy; Connectedness; Wavelet coherence;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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