Connectedness and co-movement between dirty energy, clean energy and global COVOL

被引：1

作者：

Lang, Chunlin ^{[1
,2
]}

Hu, Yang ^{[3
]}

Goodell, John W. ^{[4
]}

Hou, Yang ^{[3
]}

机构：

[1] Zhengzhou Univ, Sch Informat Management, Zhengzhou 450001, Peoples R China

[2] Zhengzhou Data Sci Res Ctr, Zhengzhou 450001, Peoples R China

[3] Univ Waikato, Sch Accounting Finance & Econ, Waikato, New Zealand

[4] Univ Akron, Akron, OH 44325 USA

来源：

FINANCE RESEARCH LETTERS | 2024年 / 63卷

关键词：

COVOL; Dirty energy; Clean energy; Connectedness; Wavelet coherenceb; IMPULSE-RESPONSE ANALYSIS; CRUDE-OIL; VOLATILITY;

D O I：

10.1016/j.frl.2024.105304

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines dynamic connectedness and co-movement between dirty energy, clean energy and the global COVOL measure of Engle and Campos-Martins (2023) between January 2015 and May 2023 based on aggregated connectedness and wavelet coherence approaches. Our results show that COVOL and dirty energy are more closely linked in times of COVID-19 and geopolitical instability, while clean energy is more isolated from geopolitical events. Moreover, the coherence between dirty and clean energy markets is weaker after 2020, consistent with a decoupling hypothesis between dirty energy and clean energy.

引用

页数：8

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