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Commonality in volatility among green, brown, and sustainable energy indices

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  • Banerjee, Ameet Kumar
  • Sensoy, Ahmet
  • Rahman, Molla Ramizur
  • Palma, Alessia

Abstract

Based on research conducted by Chordia et al. in 2000, we analyzed the volatility of energy indices to determine whether there is a commonality among them. Our dataset included green, sustainable, and brown energy indices, and we discovered that there is indeed a commonality in energy markets, with brown energy exhibiting the least commonality. Furthermore, we found that the commonality in volatility among energy markets has decreased since the Paris Agreement was signed. These results indicate that the Paris Agreement and other global policy initiatives are crucial for energy markets.

Suggested Citation

  • Banerjee, Ameet Kumar & Sensoy, Ahmet & Rahman, Molla Ramizur & Palma, Alessia, 2024. "Commonality in volatility among green, brown, and sustainable energy indices," Finance Research Letters, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004148
    DOI: 10.1016/j.frl.2024.105384
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