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Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis

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  • Shahbaz, Muhammad
  • Trabelsi, Nader
  • Tiwari, Aviral Kumar
  • Abakah, Emmanuel Joel Aikins
  • Jiao, Zhilun

Abstract

This study investigates how energy and stock markets affect the dynamics of green stock price returns considering recent periods of crises and increased uncertainty. Particularly, following the 21st Conference of the Parties (COP21)-Paris agreement and global financial crisis, it is important to assess the causal relationship between energy market, stock market, and green stock returns. Accordingly, this study employed different quantile-causality approaches to conduct a detailed analysis of the asymmetric causal relationship associated with different market regimes (normal, bad, and good). Overall, our parametric Granger-causality findings show that clean energy markets react to crude oil and stock markets depending on the market regime. Additionally, the cross-correlogram test revealed that there are negative and significant cross relations when the stock market is in bullish condition and clean energy indices in bearish conditions. These findings have important implications for portfolio diversification and hedging decisions of environmentally concerned investors. This also supports policymakers in articulating policies that seek to avoid the contagion risk to ensure financial stability.

Suggested Citation

  • Shahbaz, Muhammad & Trabelsi, Nader & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Jiao, Zhilun, 2021. "Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis," Energy Economics, Elsevier, vol. 104(C).
  • Handle: RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005120
    DOI: 10.1016/j.eneco.2021.105655
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    Keywords

    Clean energy stock prices; Green investment; S&P 500 returns; Crude oil market; Granger causality; Quantile regression;
    All these keywords.

    JEL classification:

    • P18 - Political Economy and Comparative Economic Systems - - Capitalist Economies - - - Energy; Environment

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