IDEAS home Printed from https://ideas.repec.org/a/eee/eneeco/v136y2024ics0140988324004377.html
   My bibliography  Save this article

The impact of oil shocks on green, clean, and socially responsible markets

Author

Listed:
  • Elsayed, Ahmed H.
  • Khalfaoui, Rabeh
  • Nasreen, Samia
  • Gabauer, David

Abstract

The study employs novel empirical approaches, namely wavelet quantile correlation (WQC) and cross-quantilogram analysis, to examine the interrelationship between green bonds (GB), clean energy (GCE), socially responsible stocks (ESG), and variants of oil shocks during the period spanning from June 28th, 2013 to June 1st, 2023. Empirical findings from the WQC highlight consistent diversification benefits of GB against oil shocks across various market conditions at both short and long timescales, while the hedge property is evident only in long timescales. GCE reveals safe haven and hedge property in response to oil shocks at short and long timescales, while diversifier property exists only for long timescales. ESG stocks show safe haven property during the turbulence period. Moreover, the hedge property of these stocks against oil shocks is noted over the medium- to long-term horizon. Results from the cross-quantilogram analysis reinforce the diversifier properties of GB and GCE, along with the safe haven characteristics of ESG across various timescales and market conditions. These findings offer valuable suggestions to investors interested in investing in sustainable stocks in the context of a volatile oil market.

Suggested Citation

  • Elsayed, Ahmed H. & Khalfaoui, Rabeh & Nasreen, Samia & Gabauer, David, 2024. "The impact of oil shocks on green, clean, and socially responsible markets," Energy Economics, Elsevier, vol. 136(C).
    • Handle: RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004377
    DOI: 10.1016/j.eneco.2024.107729
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0140988324004377
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.eneco.2024.107729?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Oil shocks; Green bond; Clean energy; Socially responsible markets; Wavelet quantile correlation;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004377. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eneco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.