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Return spillovers between green energy indexes and financial markets: a first sectoral approach

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  • Capucine Nobletz

Abstract

This paper assesses the interconnectedness between global green energy and sectoral stock indexes. We show that green energy return spillovers need to be monitored. The green energy index has a significant degree of financial openness, and it is tightly interconnected with sectors producing similar goods as materials or industrials. Over time, the green energy return spillovers vary according to global events and economic/financial uncertainties. Spillovers rose during the pandemic crisis, illustrating the "fly to liquidity" mechanism.

Suggested Citation

  • Capucine Nobletz, 2021. "Return spillovers between green energy indexes and financial markets: a first sectoral approach," EconomiX Working Papers 2021-24, University of Paris Nanterre, EconomiX.
    • Handle: RePEc:drm:wpaper:2021-24
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    1. Nobletz, Capucine, 2022. "Green energy indices & financial markets: An in-depth look," International Economics, Elsevier, vol. 171(C), pages 80-109.

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    More about this item

    Keywords

    Marchés financiers; Indices boursiers verts; Indices sectoriels; Analyse de réseaux;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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