Dynamic correlations and volatility spillovers between subsectoral clean-energy stocks and commodity futures markets: A hedging perspective

IF 1.8 4区 经济学 Q2 BUSINESS, FINANCE Journal of Futures Markets Pub Date : 2023-09-11 DOI:10.1002/fut.22454
Merve Coskun
{"title":"Dynamic correlations and volatility spillovers between subsectoral clean-energy stocks and commodity futures markets: A hedging perspective","authors":"Merve Coskun","doi":"10.1002/fut.22454","DOIUrl":null,"url":null,"abstract":"<p>This study investigates the time-varying connectedness between subsectoral clean-energy stocks and fossil fuel energy commodities (crude oil, natural gas, and coal) over the period of December 2013–January 2023 employing the Diebold and Yilmaz approach and the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model. According to the findings, oil transmits the highest volatility spillover shocks to biofuels, and the least to the fuel cell industry. Both natural gas and coal transmit the highest volatility spillover shocks to energy storage, and the least to geothermal and green information technology, respectively. The study also finds strong and time-varying volatility connectedness among clean-energy assets and fossil fuels, significantly affected by global extreme events, such as the COVID-19 pandemic and the Russia–Ukraine conflict. Additionally, the study provides time-varying and mean optimal hedge ratios with optimal portfolio weights for investors. The empirical results are robust, and important portfolio and policy implications based on empirical findings are provided.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"43 12","pages":"1727-1749"},"PeriodicalIF":1.8000,"publicationDate":"2023-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22454","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

This study investigates the time-varying connectedness between subsectoral clean-energy stocks and fossil fuel energy commodities (crude oil, natural gas, and coal) over the period of December 2013–January 2023 employing the Diebold and Yilmaz approach and the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model. According to the findings, oil transmits the highest volatility spillover shocks to biofuels, and the least to the fuel cell industry. Both natural gas and coal transmit the highest volatility spillover shocks to energy storage, and the least to geothermal and green information technology, respectively. The study also finds strong and time-varying volatility connectedness among clean-energy assets and fossil fuels, significantly affected by global extreme events, such as the COVID-19 pandemic and the Russia–Ukraine conflict. Additionally, the study provides time-varying and mean optimal hedge ratios with optimal portfolio weights for investors. The empirical results are robust, and important portfolio and policy implications based on empirical findings are provided.

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
分部门清洁能源股票和大宗商品期货市场之间的动态相关性和波动溢出:对冲视角
本研究采用Diebold和Yilmaz方法以及动态条件相关广义自回归条件异方差模型,研究了2013年12月至2023年1月期间分部门清洁能源股票与化石燃料能源商品(原油、天然气和煤炭)之间的时变连通性。根据研究结果,石油对生物燃料的波动性溢出冲击最高,对燃料电池行业的波动性最小。天然气和煤炭对储能的波动性溢出冲击最高,对地热和绿色信息技术的波动性最小。该研究还发现,清洁能源资产和化石燃料之间存在着强烈的时变波动联系,受到新冠肺炎疫情和俄乌冲突等全球极端事件的严重影响。此外,该研究为投资者提供了具有最佳投资组合权重的时变和平均最优对冲比率。实证结果是稳健的,并提供了基于实证结果的重要投资组合和政策含义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
Journal of Futures Markets
Journal of Futures Markets BUSINESS, FINANCE-
CiteScore
3.70
自引率
15.80%
发文量
91
期刊介绍: The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
期刊最新文献
Journal of Futures Markets: Volume 44, Number 12, December 2024 Journal of Futures Markets: Volume 44, Number 11, November 2024 Frequent Trading and Investment Performance: Evidence From the KOSPI 200 Futures Market Journal of Futures Markets: Volume 44, Number 10, October 2024 Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage-Free Relations, and Optimal Investments
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1