| 1. |
- Dutta, Anupam, et al.
(författare)
-
Climate risk and green investments: New evidence
- 2023
-
Ingår i: Energy. - : PERGAMON-ELSEVIER SCIENCE LTD. - 0360-5442 .- 1873-6785. ; 265
-
Tidskriftsartikel (refereegranskat)abstract
- The academic literature on green energy equity markets has increased extensively over the last decade due to growing concerns about climate change and the substantial flow of investments into alternative energy markets. This study contributes by investigating the effect of climate risk on the return and volatility of green energy assets. This is one of the first papers to assess such effects using the recently developed climate policy uncertainty index as an indicator of climate risk. In particular, we seek to answer the following research questions. Firstly, does rising climate risk lead to a significant increase in green energy asset returns? Secondly, does climate risk affect the volatility of green energy assets negatively? Employing various models, we provide statistical evidence in favour of our hypotheses. Rising climate risk seems to encourage investment in alternative energy, which leads to an upward demand for green energy, which in turn increases the prices of green energy investments and decreases their volatility levels. Our analysis further shows that when climate risk increases, the correlation between crude oil and green energy returns decreases. Furthermore, green energy assets are more effective than gold for hedging oil market risk, without ignoring the hedging ability of technology stock investment.
|
|
| 2. |
- Dutta, Anupam, et al.
(författare)
-
Does corn market uncertainty impact the US ethanol prices?
- 2018
-
Ingår i: Global Change Biology Bioenergy. - : WILEY. - 1757-1693 .- 1757-1707. ; 10:9, s. 683-693
-
Tidskriftsartikel (refereegranskat)abstract
- The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH-jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatility shocks are found to influence the ethanol market returns. Our findings also suggest that time-varying jumps do exist in the ethanol market.
|
|
| 3. |
- Dutta, Anupam, et al.
(författare)
-
Does oil price volatility matter for the US transportation industry?
- 2024
-
Ingår i: Energy. - : PERGAMON-ELSEVIER SCIENCE LTD. - 0360-5442 .- 1873-6785. ; 290
-
Tidskriftsartikel (refereegranskat)abstract
- Although the US transport sector is one of the major users of fossil fuel (e.g., crude oil), the impact of energy price volatility on transport stock sector indexes remains under-researched. The present study addresses this research void by investigating the impact of energy implied volatility on transportation stock returns in the US. Using the crude oil volatility index (OVX), as a proxy of energy price volatility, and three Dow Jones indexes tracking the performance of the airlines, marine and trucking stock subsectors, we employ a GARCH-jump model. The main results show that the oil market sends volatility to the US transport subsector stock indexes, suggesting that oil implied volatility plays a role in pricing US transport stocks. The impact of OVX shocks is asymmetric, indicating that increases and decreases in oil implied volatility have a heterogeneous impact on the transport subsector stock markets. Jumps are significant in the three transport subsector stock indexes, and are time-dependent. Notably, the three transportation subsector stock indexes are more sensitive to OVX shocks than the S&P 500 index. These results have important implications for investors, policymakers, academics, and managers of the US transportation industry.
|
|
| 4. |
- Elie, Bouri, et al.
(författare)
-
Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach
- 2019
-
Ingår i: Energy. - : PERGAMON-ELSEVIER SCIENCE LTD. - 0360-5442 .- 1873-6785. ; 178, s. 544-553
-
Tidskriftsartikel (refereegranskat)abstract
- In this study, we examine the potential roles of gold and crude oil as safe-haven assets against extreme down movements in clean energy stock indices. We employ copulas on daily data from November 21st, 2003 to March 30th, 2018 covering two clean energy stock indices, the Samp;P Global Clean Energy and the WilderHill Clean Energy. Instead of adopting a priori selection of the best copula function based on a single copula, we consider single and mixture copulas to better illustrate the dependence between the pairs of variables under study. We also apply parametric as well as non-parametric tail dependencies measures. Empirical results show that both crude oil and gold are no more than weak safe-haven assets for clean energy indices. However, the superiority of crude oil to gold is evidenced in case of infinitely extreme market movements. This superiority is validated for WilderHill Clean Energy Index but endorsed to gold when examined against Global Clean Energy Index, in extreme market movements. (C) 2019 Elsevier Ltd. All rights reserved.
|
|
| 5. |
- Hernandez, Jose Arreola, et al.
(författare)
-
Regime specific spillovers across US sectors and the role of oil price volatility
- 2022
-
Ingår i: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 107
-
Tidskriftsartikel (refereegranskat)abstract
- There is a growing literature studying return spillovers between similar assets and assets of different classes during crisis periods. However, less is known about return spillovers across stock sectors under high and low volatility regimes and whether they are affected by oil price volatility. Using daily data from May 10th, 2007 to February 28th, 2020, we first study the return spillovers between US stock sectors under low and high volatility regimes by implementing a Markov regime-switching vector autoregression with exogenous variables model, while considering the Fama-French factors as conditioning variables. Return spillovers under low and high volatility regimes show that the energy sector is the largest transmitter and receiver of spillovers to/from other US equity sectors. Rolling window analysis shows that spillovers intensified since the outbreak of the COVID19 pandemic. Second, we apply linear and non-linear Granger causality tests from oil price volatility to the spillover indices. The results show evidence that oil volatility has a causal impact on the spillover dynamics of US stock sectors and that the impact is particularly strong in the high volatility regime. Although the energy sector is one of the smallest sectors of the US stock market, it plays a large role in the network connectedness of stock sectors. The results are of interest to individual and institutional investors who consider US equity investments and to policymakers.
|
|
| 6. |
- Menkveld, Albert J., et al.
(författare)
-
Nonstandard Errors
- 2024
-
Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
-
Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
|
|
| 7. |
- Yahya, Muhammad, et al.
(författare)
-
Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil
- 2022
-
Ingår i: Renewable energy. - : Pergamon-Elsevier Science Ltd. - 0960-1481 .- 1879-0682. ; 197, s. 594-605
-
Tidskriftsartikel (refereegranskat)abstract
- Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in Europe. However, the dependence structure between global crude oil prices and the European prices of biodiesel and rapeseed oil is understudied and unclear. In this paper, we address this gap by utilizing asymmetric copulas and cross-quantilogram approaches on daily data. The results of the DCC-Student-t copula indicate that during bearish periods the conditional connectedness between crude oil prices and biodiesel (rapeseed oil) prices are stronger than during bullish periods, indicating increased co-movement with a decline in crude oil prices. The application of cross-quantilogram indicates that an increase in crude oil price positively influences biodiesel prices reflecting an asymmetric dependence structure among the assets. There is evidence of shifts in the dynamics of quantile dependency during periods of financial and economic turmoil. Overall, the results show a significant dependence between the global crude oil market and the European markets of biodiesel and rapeseed oil in specific periods and under specific market conditions, which have important implications for policymakers and investors.
|
|
