A time-varying Granger causality analysis between water stock and green stocks using novel approaches

被引：10
|
作者：
Tiwari, Aviral Kumar [1 ]
Adewuyi, Adeolu O. [2 ]
Adeleke, Musefiu Adebowale [2 ]
Abakah, Emmanuel Joel Aikins [3 ]
机构：
[1] Indian Inst Management Bodh Gaya, Bodh Gaya, India
[2] Univ Ibadan, Fac Econ & Management Sci, Dept Econ, Ibadan, Nigeria
[3] Univ Ghana, Business Sch, Accra, Ghana
来源：
ENERGY ECONOMICS | 2023年 / 126卷
关键词：
Water stock; Green stocks; Time-frequency approach; Multi-scale Wavelet Causality approach; Sustainable economic development; WAVELET TRANSFORM; ENERGY; SERIES;
D O I：
10.1016/j.eneco.2023.107010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study examined the Granger-causality between global water stock and global green stocks (MSCI global environmental index, global alternative energy index, global pollution prevention index and global green building index) using a battery of innovative causality methods with available daily data covering 23rd June 2009 to 23rd June 2022. Empirical results reveal many episodes of causality between global water stock and each of the global green stocks during the study period, including the post-global financial crisis and COVID-19 periods. The Granger-causality between the stocks was also noticed at different market periods and frequencies. Thus, the results confirmed the water-energy nexus and water-environment nexus. These results informed some policy recommendations to ensure sustainable economic development.
引用
收藏
页数：20
相关论文
共 50 条
  • [11] Economic policy uncertainty in US and Europe: time-varying Granger causality
    Mladenovic, Zorica
    APPLIED ECONOMICS LETTERS, 2023, 30 (20) : 2913 - 2920
  • [12] Time-varying causality between stock prices and macroeconomic fundamentals: Connection or disconnection?
    Fromentin, Vincent
    Lorraine, M. S. H.
    Ariane, C. P. E. R.
    Alshammari, Turki
    FINANCE RESEARCH LETTERS, 2022, 49
  • [13] Portfolio diversification possibilities between the stock and housing markets in G7 countries: Evidence from the time-varying Granger causality
    Chen, Chien -Fu
    Chiang, Shu-hen
    FINANCE RESEARCH LETTERS, 2022, 49
  • [14] Time-varying spillover between the mainland China stock market and the other global main stock markets base on the non-linear Granger causality test
    Zhou, Pu
    Li, Zi-Ran
    Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2012, 32 (03): : 466 - 475
  • [15] An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices
    Abakah, Emmanuel Joel Aikins
    Tiwari, Aviral Kumar
    Adekoya, Oluwasegun B.
    Oteng-Abayie, Eric Fosu
    TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 2023, 186
  • [16] Dynamic causality between global supply chain pressures and China's resource industries: A time-varying Granger analysis
    Ren, Xiaohang
    Fu, Chenjia
    Jin, Chenglu
    Li, Yuyi
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2024, 95
  • [17] Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices
    Wei, Jiangqiao
    Ma, Zhe
    Wang, Anjian
    Li, Pengyuan
    Sun, Xiaoyan
    Yuan, Xiaojing
    Hao, Hongchang
    Jia, Hongxiang
    RESOURCES POLICY, 2022, 77
  • [18] Testing for Granger (non-)causality in a time-varying coefficient VAR model
    Christopoulos, Dimitris K.
    Leon-Ledesma, Miguel A.
    JOURNAL OF FORECASTING, 2008, 27 (04) : 293 - 303
  • [19] Time-varying Granger causality tests for applications in global crude oil markets
    Lu, Feng-bin
    Hong, Yong-miao
    Wang, Shou-yang
    Lai, Kin-keung
    Liu, John
    ENERGY ECONOMICS, 2014, 42 : 289 - 298
  • [20] Time-varying pattern causality inference in global stock markets
    Wu, Tao
    Gao, Xiangyun
    An, Sufang
    Liu, Siyao
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 77
12345