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Spillover effects between fossil energy and green markets: Evidence from informational inefficiency

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  • Ren, Xiaohang
  • Xiao, Ya
  • Duan, Kun
  • Urquhart, Andrew

Abstract

This paper builds an indicator of the market inefficiency degree by quantifying the extent of the market deviation from an efficient status. From a novel perspective of informational inefficiency, we further model the dynamic spillover effects between fossil energy and green markets by using a time-varying parameter vector autoregressive (TVP-VAR) model. Our findings indicate that the market inefficiency degree and its spillovers exhibit evident time-varying dynamics and are sensitive to extreme events. The international crude oil benchmarks serve as the most significant information transmitter and receiver in the spillover network of market inefficiency. Within green-related markets, carbon market demonstrates the strongest correlation with the fossil energy markets. Additional analyses involving consideration of economic policy uncertainty reassure the robustness of our findings.

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  • Ren, Xiaohang & Xiao, Ya & Duan, Kun & Urquhart, Andrew, 2024. "Spillover effects between fossil energy and green markets: Evidence from informational inefficiency," Energy Economics, Elsevier, vol. 131(C).
    • Handle: RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000252
    DOI: 10.1016/j.eneco.2024.107317
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