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Are interconnectedness and spillover alike across green sectors during the COVID-19 and the Russia–Ukraine conflict?

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  • Hanif, Waqas
  • El Khoury, Rim
  • Arfaoui, Nadia
  • Hammoudeh, Shawkat

Abstract

This study investigates interconnectedness and spillover dynamics among nineteen clean energy equity sub-sectors during the COVID-19 pandemic and the Russia-Ukraine conflict. Using the Time-Varying Parameter Vector Autoregression (TVP-VAR) Joint Connectedness approach, the findings reveal intensified interconnectedness during crises, with the Total Connectedness Index (TCI) surpassing 100 % during COVID-19, while stabilizing amid the Russia-Ukraine conflict, indicating a partial resilience in clean energy markets. Sub-sectors such as Energy Management, Recycling, and Water consistently serve as risk transmitters, while Wind and Geothermal absorb risks, emphasizing heterogeneous roles within the sector. This high level of interconnectedness limits the ability to reduce risks within the clean energy sector alone during turbulent times. Policy interventions, such as subsidies and regulatory support for critical risk-transmitting sub-sectors, could stabilize the market and reduce systemic vulnerabilities. Sectors like Solar and Smart Grid adapt to market conditions, taking on different roles depending on crisis-specific factors, particularly in response to energy security and sustainability policies. Investors may enhance their portfolio stability by focusing on the risk-absorbing sub-sectors, such as Wind and Geothermal, and also adopting dynamic asset allocation strategies during crises.

Suggested Citation

  • Hanif, Waqas & El Khoury, Rim & Arfaoui, Nadia & Hammoudeh, Shawkat, 2025. "Are interconnectedness and spillover alike across green sectors during the COVID-19 and the Russia–Ukraine conflict?," Energy Economics, Elsevier, vol. 144(C).
    • Handle: RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001161
    DOI: 10.1016/j.eneco.2025.108293
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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