IDEAS home Printed from https://ideas.repec.org/a/ayb/jrnerl/79.html
   My bibliography  Save this article

Modeling Oil shocks-Green Investments Nexus - A Global Evidence Based on Wavelet Coherence Technique

Author

Listed:
  • Jamiu Badmus
  • Sodiq Bisiriyu
  • Oluwadamilola Alawode

    (Department of Economics, Tai Solarin University of Education)

Abstract

This study investigates the interdependence between oil shocks and green investments over time and frequency domains. Using the wavelet coherence approach, our results show evidence of bidirectional causality between all the variants of oil shocks and green investments around the global financial crisis and the 2014-2016 oil crisis. Economic activity shocks significantly Granger-cause green investments during the COVID-19 pandemic.

Suggested Citation

  • Jamiu Badmus & Sodiq Bisiriyu & Oluwadamilola Alawode, 2023. "Modeling Oil shocks-Green Investments Nexus - A Global Evidence Based on Wavelet Coherence Technique," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-5.
    • Handle: RePEc:ayb:jrnerl:79
    DOI: 2023/06/13
    as

    Download full text from publisher

    File URL: https://erl.scholasticahq.com/api/v1/articles/73215-modeling-oil-shocks-green-investments-nexus-a-global-evidence-based-on-wavelet-coherence-technique.pdf
    Download Restriction: no
    File URL: https://libkey.io/2023/06/13?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Salisu, Afees A. & Gupta, Rangan, 2021. "Oil shocks and stock market volatility of the BRICS: A GARCH-MIDAS approach," Global Finance Journal, Elsevier, vol. 48(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Furqan, Mehreen, 2023. "Asymmetric volatility structure of equity returns: Evidence from an emerging market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 330-336.
    2. Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2022. "Financial turbulence, systemic risk and the predictability of stock market volatility," Global Finance Journal, Elsevier, vol. 52(C).
    3. Hong, Yanran & Yu, Jize & Su, Yuquan & Wang, Lu, 2023. "Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 358-368.
    4. Sadeghi, Abdorasoul & Roudari, Soheil, 2022. "Heterogeneous effects of oil structure and oil shocks on stock prices in different regimes: Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 76(C).
    5. Li, Zepei & Huang, Haizhen, 2023. "Challenges for volatility forecasts of US fossil energy spot markets during the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 31-45.
    6. Naeem, Muhammad Abubakr & Pham, Linh & Senthilkumar, Arunachalam & Karim, Sitara, 2022. "Oil shocks and BRIC markets: Evidence from extreme quantile approach," Energy Economics, Elsevier, vol. 108(C).
    7. Zhang, Li & Wang, Lu & Peng, Lijuan & Luo, Keyu, 2023. "Measuring the response of clean energy stock price volatility to extreme shocks," Renewable Energy, Elsevier, vol. 206(C), pages 1289-1300.
    8. Adediran, Idris A. & Swaray, Raymond, 2023. "Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty," Economic Modelling, Elsevier, vol. 123(C).
    9. Afees A. Salisu & Ahamuefula E. Ogbonna & Rangan Gupta & Elie Bouri, 2023. "Energy-Related Uncertainty and International Stock Market Volatility," Working Papers 202336, University of Pretoria, Department of Economics.
    10. Adedoyin Isola LAWAL & Ezekiel OSENI & Abiola John ASALEYE & Bukola LAWAL-ADEDOYIN & Rachael OJEKA-JOHN, 2021. "Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(5), pages 384-395, May.
    11. Wu, Xinyu & Zhao, An & Cheng, Tengfei, 2023. "A Real-Time GARCH-MIDAS model," Finance Research Letters, Elsevier, vol. 56(C).
    12. Kuang, Wei, 2023. "The equity-oil hedge: A comparison between volatility and alternative risk frameworks," Energy, Elsevier, vol. 271(C).
    13. Wang, Ningli & You, Wanhai, 2023. "New insights into the role of global factors in BRICS stock markets: A quantile cointegration approach," Economic Systems, Elsevier, vol. 47(2).
    14. Xie, Qichang & Tang, Guoqiang, 2022. "Do market conditions interfere with the transmission of uncertainty from oil market to stock market? Evidence from a modified quantile-on-quantile approach," Energy Economics, Elsevier, vol. 114(C).
    15. Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
    16. Salisu, Afees A. & Gupta, Rangan & Bouri, Elie, 2023. "Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 303-314.
    17. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Vo, Xuan Vinh, 2022. "Oil shocks and volatility of green investments: GARCH-MIDAS analyses," Resources Policy, Elsevier, vol. 78(C).
    18. Ruipeng Liu & Rangan Gupta & Elie Bouri, 2021. "Conventional and Unconventional Monetary Policy Rate Uncertainty and Stock Market Volatility: A Forecasting Perspective," Working Papers 202178, University of Pretoria, Department of Economics.
    19. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Adesina, Oluwaseun A. & Alobaloke, Kafayat A. & Vo, Xuan Vinh, 2022. "Time-variation between metal commodities and oil, and the impact of oil shocks: GARCH-MIDAS and DCC-MIDAS analyses," Resources Policy, Elsevier, vol. 79(C).
    20. Suleman, Muhammad Tahir & McIver, Ron & Kang, Sang Hoon, 2021. "Asymmetric volatility connectedness between Islamic stock and commodity markets," Global Finance Journal, Elsevier, vol. 49(C).

    More about this item

    Keywords

    : Oil shocks; Green investments; Wavelet coherence;
    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ayb:jrnerl:79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Asia-Pacific Applied Economics Association (email available below). General contact details of provider: https://edirc.repec.org/data/apaeaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.