Title: Integration of green energy equity and fossil energy markets in different time scales: evidence from the US, Europe and China

Authors: Yan Chen; Yuanying Jiang

Addresses: College of Science (CoS), Guilin University of Technology (GLUT), 12 Jiangan Road, Guilin, 541004, China ' College of Science (CoS), Guilin University of Technology (GLUT), 12 Jiangan Road, Guilin, 541004, China; Guangxi Colleges and Universities Key Laboratory of Applied Statistics (GXCUKLAS), 12 Jiangan Road, Guilin, 541004, China

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.

Keywords: air pollution; environmental security; energy transition; green stock market; fossil energy market; regional analysis; wavelet analysis; TVP-VAR connectedness analysis; heavy polluting industries; sustainable development.

DOI: 10.1504/IJEP.2023.137966

International Journal of Environment and Pollution, 2023 Vol.72 No.2/3/4, pp.198 - 221

Received: 25 Mar 2023
Accepted: 28 Sep 2023

Published online: 15 Apr 2024 *

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