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Corrigendum to “Do green energy markets catch cold when conventional energy markets sneeze?” [Energy Economics Volume 127, Part A, November 2023, 107035]

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  • Rao, Amar
  • Lucey, Brian
  • Kumar, Satish
  • Lim, Weng Marc

Abstract

This study analyzes the interconnectedness between conventional and green energy markets in terms of daily returns and volatility through a time and frequency connectedness perspective. Comparing conventional energy indicators like the S&P 500 Energy (ENERGY), S&P Global Oil Index (GOI), and Dow Jones Conventional Electricity Index (CEI) to green energy benchmarks such as the S&P Global Clean Energy Index (GCEI) and the S&P/TSX Renewable Energy and Clean Technology Index (RECTI), the findings highlight the heightened sensitivity of daily returns and volatility to shocks, especially at extreme quantiles, in the time domain. On the frequency spectrum, the connectedness patterns of conventional and green energy indices' daily returns and volatility to shocks vary, exhibiting fluctuating roles between transmission and reception. The dynamic connectedness highlights the interconnectedness between conventional and green energy markets. These findings underscore the need for risk management strategies and resilient investment approaches in energy markets.
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Suggested Citation

  • Rao, Amar & Lucey, Brian & Kumar, Satish & Lim, Weng Marc, 2025. "Corrigendum to “Do green energy markets catch cold when conventional energy markets sneeze?” [Energy Economics Volume 127, Part A, November 2023, 107035]," Energy Economics, Elsevier, vol. 148(C).
    • Handle: RePEc:eee:eneeco:v:148:y:2025:i:c:s014098832500430x
    DOI: 10.1016/j.eneco.2025.108603
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