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Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development

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  • Duan, Xiaoping
  • Xiao, Ya
  • Ren, Xiaohang
  • Taghizadeh-Hesary, Farhad
  • Duan, Kun

Abstract

This study employs the time-varying vector parameter autoregression model and Diebold-Yilmaz (2012, 2014) spillover approach to explore the static, net, dynamic and directional spillover effects between China's traditional energy and emerging green markets and the impact of the COVID-19 outbreak on spillover effects. Spillover networks are constructed to observe structural changes in the directional spillover of each target financial market before and after the pandemic's outbreak. Changes in hedging indicators of portfolios composed of two types of markets before and after the outbreak of COVID-19 are compared to provide directional guidance for investors to choose portfolios in the post-pandemic era. We found that the outbreak of the pandemic had a considerable impact on the volatility of various spillover effects of the studied markets. The total spillover level of the system increased rapidly by 18% in the early stages of the pandemic. Green bond was the largest net recipient of volatility spillovers in the whole system, followed by crude oil, while new energy was the largest net contributor of volatility spillovers in the whole system, followed by clean energy. After the outbreak, the hedging effectiveness of portfolios with long positions in traditional energy markets and short positions in emerging green markets improved significantly. In particular, a portfolio with long positions in the crude oil market and short positions in the green bond market is the best risk-hedging portfolio.

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  • Duan, Xiaoping & Xiao, Ya & Ren, Xiaohang & Taghizadeh-Hesary, Farhad & Duan, Kun, 2023. "Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development," Resources Policy, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001915
    DOI: 10.1016/j.resourpol.2023.103483
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