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Does the energy sector serve as a hedge and safe haven?

Author

Listed:
  • A. S. M. Sohel Azad

    (Deakin University)

  • Aziz Hayat

    (Deakin University)

  • Huson Joher Ali Ahmed

    (Prince Mohammad Bin Fahad University)

Abstract

This paper compares the hedging and safe haven properties of clean (renewable) energy and unclean (non-renewable) energy stocks. Using around 20 years of monthly clean and unclean energy indices and applying the GARCH and quantile regression models with dummy variables, we find that likewise the unclean energy stocks renewable energy stocks provide a weak hedge and a safe haven against the global economic policy uncertainty and its extreme values even during the pandemic and low and high return environments. These findings suggest that clean energy stocks provide immunity to investors against unfavourable changes to economic policy uncertainty and market volatility.

Suggested Citation

  • A. S. M. Sohel Azad & Aziz Hayat & Huson Joher Ali Ahmed, 2024. "Does the energy sector serve as a hedge and safe haven?," Annals of Operations Research, Springer, vol. 339(1), pages 369-395, August.
    • Handle: RePEc:spr:annopr:v:339:y:2024:i:1:d:10.1007_s10479-023-05707-6
    DOI: 10.1007/s10479-023-05707-6
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    More about this item

    Keywords

    Clean energy; Unclean energy; Hedge; Safe haven; Asymmetric factor spline GARCH; Quantile regression; COVID-19;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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