Integration of green energy equity and fossil energy markets in different time scales: evidence from the US, Europe and China Online publication date: Mon, 15-Apr-2024
by Yan Chen; Yuanying Jiang
International Journal of Environment and Pollution (IJEP), Vol. 72, No. 2/3/4, 2023
Abstract: Concerns about climate change and environmental degradation in recent years have spurred significant interest in green stocks. This paper integrates the lead-lag relationship, co-movement, and bidirectional spillovers between green energy stock markets and fossil energy markets in US, Europe, and China across the time-frequency domain using wavelet methods and time-varying parameter vector autoregression (TVP-VAR) connectedness approach. The results show that oil has a stronger correlation with the green stock market, with the strongest time-varying dependence on the green stock market in US and European regions. US green stock market plays a leading role in the short and long term, while becoming a net receiver of systemic risk in the medium term. Spillovers across markets are mainly driven by long-term shocks, which are exacerbated by extreme global events. The findings of this paper can provide recommendations for investors and policy makers with different time horizons.
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