Green markets integration in different time scales: A regional analysis

Urom, Christian; Mzoughi, Héla; Abid, Ilyes; Brahim, Mariem

doi:10.1016/j.eneco.2021.105254

Cited by 39 publications

(18 citation statements)

References 32 publications

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“…Table 5 displays the comparison of our findings and previous findings. Some findings are consistent with those of previous literature (Hammoudeh et al, 2021 ; Kung et al, 2022 ; McInerney & Bunn, 2019 ; Urom et al, 2021 ), but there are also some opposites. For example, we find the positive effect was weakened during the COVID-19 pandemic, contrary to Pham ( 2021 )’s view that the connectedness between green bonds and clean energy can be strengthened during extreme conditions.…”

Section: Resultssupporting

confidence: 92%

“…The results show that clean energy returns have positive effects on the aggregate stock index, and the effects are asymmetric across quantiles. Using the wavelet correlations method, Urom et al ( 2021 ) demonstrate that the U.S. and European clean energy markets can positively influence global stock returns in the short term, however, the impacts are weak. The results also show that the positive effects of the Asian clean energy market are close to zero in the short term.…”

Section: Literature Reviewmentioning

confidence: 99%

“…With the increasing awareness of global low-carbon development, clean energy has become an important substitute for traditional fossil energy (Yildirim, 2014 ). Previously there have been many studies focusing on the nexus between clean energy and stock price (Al Mamun et al, 2018 ; Elsayed et al, 2020 ; Geng et al, 2021 ; Kuang, 2021 ; Lin et al, 2019 ; Paramati et al, 2016 ; Razmi et al, 2020 ; Urom et al, 2021 ). Two strands mainly separate the results.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Another group of scholars concludes the negative impacts of stock prices on clean energy. Urom et al ( 2021 ) study the dependence between the global stock market and the clean energy market. They conclude that an increase in global stock market volatility can result in a decrease in clean energy stock prices in the U.S., Europe, and Asia.…”

Section: Literature Reviewmentioning

confidence: 99%

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Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

et al. 2022

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This paper uses weekly data from July 01, 2011 to July 09, 2021 to examine the dynamic nonlinear connectedness between the green bonds, clean energy, and stock price around the COVID-19 outbreak in the global markets. By building a time-varying parameter vector autoregression model (TVP-VAR), the comparison analyses of pre- and during the COVID-19 sample groups verify the existence of nonlinear and dynamic correlation among the three variables. First, prior to the COVID-19 pandemic, the simultaneous impacts of clean energy on stock price increased over time. Second, the results of impulse responses at different horizons indicate that green bonds lead to a short-term increase of clean energy, and it exerts an increasingly positive impacts after the COVID-19 outbreak. The COVID-19 has weakened the negative impacts of green bonds on stock price in the medium term. Finally, through the analysis of impulse responses at different points, we find that stock prices will rise when clean energy is subjected to a positive shock, and this positive effect is stronger during economic recovery period than in the other two periods.

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Section: Resultssupporting

confidence: 92%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

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Dynamic nonlinear connectedness between the green bonds, clean energy, and stock price: the impact of the COVID-19 pandemic

et al. 2022

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“…Given the magnitude of disruption in global economic activities, this has been considered as a global economic/financial crisis (see e.g., Mirza et al, 2020 ; Sharif et al, 2020 ). The effect has manifested in increased risk spillover across several financial instruments such as equities, mutual funds, commodities and cryptocurrencies (Corbet et al, 2020 ; Mzoughi et al, 2020 ; Ding et al, 2021 ; Urom et al, 2021 ). Besides, Reinhart ( 2020 ) argue that the COVID-19 pandemic-related crisis differs from previous crisis in the nature of its cause and severity.…”

Section: Introductionmentioning

confidence: 99%

American hedge funds industry, market timing and COVID-19 crisis

et al. 2022

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This paper addresses two key issues relating to the interactions among the North American hedge funds industry, the equity and treasury bond markets during the COVID-19 pandemic. First, we examine the market-timing ability of North America hedge fund managers using eight strategies as well as the composite hedge fund index. Secondly, we analyze both the short- and long-term effects of both the North American equity and bond markets on the performance of the regional hedge funds industry while accounting for the effects of COVID-19 pandemic. Our results show no significant evidence of market return-timing ability of hedge fund managers across all the funds strategies during the pandemic. However, we document a strong evidence of the effects of the pandemic on the performance of fund managers, except for the Managed Futures and the Relative Value funds strategies. Secondly, we demonstrate that the COVID-19 pandemic may have significantly altered the long-term effects of the North American equity market on the performance of the hedge fund industry while the effects of the bond market is only significant in the short-term. We outlined some crucial implications of these findings for the decision-making process of hedge fund managers, investors as well as market makers during a health crisis-induced financial market turbulence.

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