Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si4.svg" display="inline" id="d1e3261"><mml:msup><mml:mrow/><mml:mrow><mml:mn>2</mml:mn></mml:mrow></mml:msup></mml:math> decomposed connectedness measures

Cocca, Teodoro; Gabauer, David; Pomberger, Stefan

doi:10.1016/j.eneco.2024.107680

Energy Economics

2024

DOI: 10.1016/j.eneco.2024.107680

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Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R2 decomposed connectedness measures

Teodoro Cocca,

David Gabauer,

Stefan Pomberger

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Connectedness between Sustainable Investment Indexes: The QVAR Approach

Marín-Rodríguez,

Gonzalez-Ruiz,

Botero

2024

Economies

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We studied the relationship between sustainable investment indexes and examine whether this relationship varies in bullish, bearish, and stable financial markets. To understand this issue more deeply, we analyzed the connectedness between three indexes—the Sustainable Impact investments, Paris-aligned stocks, and green bonds indexes—using the daily closing prices from 1 June 2017 to 15 April 2024, encompassing 1793 observations. We used a quantile vector autoregressive (QVAR) model to understand the dynamic relationship among the considered indices. The findings indicate that sustainable investments are strongly interconnected in both high and low quantiles, but this connection weakens significantly during periods of market stability. The Sustainable Impact investments and Paris-aligned stocks indexes are net transmitters of impacts to other sustainable alternatives, while the green bonds index is a net receiver. We also observed an increase in interconnectedness across all quantiles during the pandemic, the Russia–Ukraine military conflict, and changes in the European Union and the United States’ monetary policies.

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Connectedness between Sustainable Investment Indexes: The QVAR Approach

Marín-Rodríguez,

Gonzalez-Ruiz,

Botero

2024

Economies

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Clean energy market connectedness and investment strategies: New evidence from DCC-GARCH R2 decomposed connectedness measures

Cited by 1 publication

References 68 publications

Connectedness between Sustainable Investment Indexes: The QVAR Approach

Connectedness between Sustainable Investment Indexes: The QVAR Approach

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