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Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic

Author

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  • Azhar Mohamad

    (International Islamic University Malaysia [Kuala Lumpur])

  • Vincent Fromentin

    (CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine)

Abstract

This paper examines herd behaviour, causality dynamics and dynamic relationships among energy commodities, namely WTI, Brent, gasoline and natural gas, and ethical energy investment indices (S&P Global clean energy, WilderHill clean energy and NASDAQ clean edge green energy) in different phases of the COVID-19 pandemic. Our dataset spans four and a half years of daily data, from August 2018 to February 2023. Unintentional herding behaviour is observed in about 20% between energy commodities and between 10 and 15% between ethical investment indices, and is spread across different phases of the pandemic. WTI is the largest source of time-varying Granger causality to other energy commodities and ethical investment indices at the beginning of the pandemic and remains so after the pandemic. Finally, our wavelet coherence analysis shows that natural gas is decoupled from crude oil and gasoline markets and is not affected by the pandemic.

Suggested Citation

  • Azhar Mohamad & Vincent Fromentin, 2023. "Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic," Post-Print hal-04206763, HAL.
    • Handle: RePEc:hal:journl:hal-04206763
    DOI: 10.1016/j.eneco.2023.107001
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    Cited by:

    1. Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).

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