关于清洁能源股票与非洲股市之间的联系:传染病带来的不确定性重要吗?

IF 2.7 4区 管理学 Q2 BUSINESS International Journal of Emerging Markets Pub Date : 2023-08-14 DOI:10.1108/ijoem-05-2022-0818
I. Fasanya, Oluwatomisin J. Oyewole
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引用次数: 0

摘要

随着环境友好型投资金融市场的范围和规模不断扩大,分析绿色金融市场与非洲股票之间的关系成为一个重要问题。因此,本文考察了基于传染病的不确定性对非洲股票市场和清洁能源股票之间动态溢出效应的作用。设计/方法/方法作者在2010年11月30日至2021年8月18日期间采用了时域和频域的动态溢出和非参数分位数因果关系方法。这些发现在本研究的分析中是显而易见的。首先,作者发现了非洲股票市场和清洁能源市场之间紧密联系的证据,这种联系存在很长时间,但在中短期投资视野中很弱。其次,BDS检验表明,在检验基于传染病的股票市场波动对清洁能源股票与非洲股票市场相互作用的影响时,非线性是至关重要的。第三,因果分析提供了证据,支持传染病造成的不确定性与两个市场之间的联系之间存在非线性因果关系,主要是在较低和中位数。考虑到全球和最近将清洁能源股票和股票市场用于对冲和投机目的,人们可能会认为,不断上升的不确定性可能会严重影响这些市场的风险传导。因此,这项研究首次审查了流行病不确定性对清洁库存与非洲股票市场之间联系的作用。
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On the connection between clean energy stocks and African stock markets: does uncertainty due to infectious diseases matter?
PurposeAs financial markets for environmentally friendly investment grow in both scope and size, analyzing the relationship between green financial markets and African stocks becomes an important issue. Therefore, this paper examines the role of infectious disease-based uncertainty on the dynamic spillovers between African stock markets and clean energy stocks.Design/methodology/approachThe authors employ the dynamic spillover in time and frequency domains and the nonparametric causality-in-quantiles approach over the period of November 30, 2010, to August 18, 2021.FindingsThese findings are discernible in this study's analysis. First, the authors find evidence of strong connectedness between the African stock markets and the clean energy market, and long-lived but weak in the short and medium investment horizons. Second, the BDS test shows that nonlinearity is crucial when examining the role of infectious disease-based equity market volatility in affecting the interactions between clean energy stocks and African stock markets. Third, the causal analysis provides evidence in support of a nonlinear causal relationship between uncertainties due to infectious diseases and the connection between both markets, mostly at lower and median quantiles.Originality/valueConsidering the global and recent use of clean energy equities and the stock markets for hedging and speculative purposes, one may argue that rising uncertainties may significantly influence risk transmissions across these markets. This study, therefore, is the first to examine the role of pandemic uncertainty on the connection between clean stocks and the African stock markets.
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CiteScore
5.90
自引率
14.80%
发文量
206
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