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Examining the quantile cross-coherence between fossil energy and clean energy: Is the dependence structure changing with the COVID-19 outbreak?

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  • Wang, Zhuo
  • Chen, Xiaodan
  • Zhou, Chunyan
  • Zhang, Yifeng
  • Wei, Yu

Abstract

The advent of COVID-19 has markedly affected financial and energy markets. Clean energy positions itself as a feasible substitute for fossil fuels, and the crisis has altered the interdependence of these two counterpart markets. This study uses quantile cross-spectral analysis to investigate the dependence structure features of the fossil and clean energy markets, pre- and post-COVID-19 outbreak, under various market conditions and across different investment horizons. Empirical results suggest an anomalous intensification or inversion in the interaction between fossil and clean energy under extreme market conditions post-COVID-19 outbreak, manifesting either an extraordinarily high or low dependency. Additionally, the asset dependence structure exhibits increased heterogeneity across investment horizons after the COVID-19 outbreak, with short-term structures demonstrating higher volatility, while medium- and long-term structures show similarity. Finally, by generating a dynamic energy portfolio, this paper measures the investment allocation weights of each asset before and after the emergence of COVID-19. Findings indicate an increased need for investment in natural gas, crude oil, and clean energy post-COVID-19 outbreak, suggesting a reduction in coal investment. The analyses aim to assist energy investors in enhancing their economic decision-making processes and refining their portfolio management strategies.

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  • Wang, Zhuo & Chen, Xiaodan & Zhou, Chunyan & Zhang, Yifeng & Wei, Yu, 2024. "Examining the quantile cross-coherence between fossil energy and clean energy: Is the dependence structure changing with the COVID-19 outbreak?," International Review of Financial Analysis, Elsevier, vol. 94(C).
    • Handle: RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001984
    DOI: 10.1016/j.irfa.2024.103266
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    Keywords

    COVID-19 epidemic; Fossil energy; Clean energy; Quantile cross-spectral; Portfolio;
    All these keywords.

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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