The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations

Maghyereh, A.I., Awartani, B. and Abdoh, H. 2019. The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. Energy. 169, pp. 895-913. https://doi.org/10.1016/j.energy.2018.12.039

TitleThe co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations
TypeJournal article
AuthorsMaghyereh, A.I., Awartani, B. and Abdoh, H.
Abstract

The production of clean energy is crucial for protecting the environment and satisfying the future demand for energy. However, the growth in clean energy production and consumption is influenced by the developments in the oil and the clean energy technology markets. Thus, it is crucial to study the association among these markets and this is the main objective of this research. Compared to the existing literature, we provide evidence from multiple time horizons. In particular, we combine wavelets over various time scales with multivariate GARCH (MGARCH) to find significant bidirectional return and risk transfer from oil and technology to the clean energy market. The transmissions are found to be more pronounced at longer time horizons. These results highlight the importance of certainty and stability in the oil and technology markets for the growth of clean energy particularly in the long term.

KeywordsClean energy and technology equities
Crude oil
Optimal hedge ratios
Wavelet analysis
Time-frequency
JournalEnergy
Journal citation169, pp. 895-913
ISSN0360-5442
Year2019
PublisherElsevier
Accepted author manuscript
Digital Object Identifier (DOI)https://doi.org/10.1016/j.energy.2018.12.039
Publication dates
Published online15 Dec 2018
Published in print15 Feb 2019
LicenseCC BY-NC-ND 4.0

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