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Dynamics of Connectedness in Clean Energy Stocks.

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Title: Dynamics of Connectedness in Clean Energy Stocks.
Authors: Fuentes, Fernanda1 (AUTHOR) fefuentes@utalca.cl, Herrera, Rodrigo2 (AUTHOR) rodrigo.herrera@utalca.cl
Source: Energies (19961073). Jul2020, Vol. 13 Issue 14, p3705. 1p. 4 Charts, 5 Graphs.
Subject Terms: *Mathematical connectedness, *Gold markets, *Portfolio diversification, *Stock exchanges, *Commodity exchanges
Abstract: This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities markets—the crude oil and gold markets. The empirical results show a unidirectional connectedness from the implied volatility indices to the clean energy stocks. Our analysis further reveals similar volatility connectedness behaviors among companies in the same energy production subsector. However, there exists heterogeneous behavior between different energy production subsectors over time. Further, we identify pairwise directional connectedness clusters among related companies, indicating that there are few possibilities for portfolio diversification within the energy production subsectors. Finally, through an impulse–response analysis, we confirm that the expectation of future market volatility of the S&P 500 index and the gold price plays a leading role in volatility connectedness with clean energy stocks. [ABSTRACT FROM AUTHOR]
Database: Energy & Power Source
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Header DbId: enr
DbLabel: Energy & Power Source
An: 144754228
AccessLevel: 6
PubType: Academic Journal
PubTypeId: academicJournal
PreciseRelevancyScore: 0
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  Data: Dynamics of Connectedness in Clean Energy Stocks.
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  Data: <searchLink fieldCode="JN" term="%22Energies+%2819961073%29%22">Energies (19961073)</searchLink>. Jul2020, Vol. 13 Issue 14, p3705. 1p. 4 Charts, 5 Graphs.
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  Data: *<searchLink fieldCode="DE" term="%22Mathematical+connectedness%22">Mathematical connectedness</searchLink><br />*<searchLink fieldCode="DE" term="%22Gold+markets%22">Gold markets</searchLink><br />*<searchLink fieldCode="DE" term="%22Portfolio+diversification%22">Portfolio diversification</searchLink><br />*<searchLink fieldCode="DE" term="%22Stock+exchanges%22">Stock exchanges</searchLink><br />*<searchLink fieldCode="DE" term="%22Commodity+exchanges%22">Commodity exchanges</searchLink>
– Name: Abstract
  Label: Abstract
  Group: Ab
  Data: This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities markets—the crude oil and gold markets. The empirical results show a unidirectional connectedness from the implied volatility indices to the clean energy stocks. Our analysis further reveals similar volatility connectedness behaviors among companies in the same energy production subsector. However, there exists heterogeneous behavior between different energy production subsectors over time. Further, we identify pairwise directional connectedness clusters among related companies, indicating that there are few possibilities for portfolio diversification within the energy production subsectors. Finally, through an impulse–response analysis, we confirm that the expectation of future market volatility of the S&P 500 index and the gold price plays a leading role in volatility connectedness with clean energy stocks. [ABSTRACT FROM AUTHOR]
PLink https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=enr&AN=144754228
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    Identifiers:
      – Type: doi
        Value: 10.3390/en13143705
    Languages:
      – Code: eng
        Text: English
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        PageCount: 1
        StartPage: 3705
    Subjects:
      – SubjectFull: Mathematical connectedness
        Type: general
      – SubjectFull: Gold markets
        Type: general
      – SubjectFull: Portfolio diversification
        Type: general
      – SubjectFull: Stock exchanges
        Type: general
      – SubjectFull: Commodity exchanges
        Type: general
    Titles:
      – TitleFull: Dynamics of Connectedness in Clean Energy Stocks.
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            NameFull: Fuentes, Fernanda
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            NameFull: Herrera, Rodrigo
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            – D: 15
              M: 07
              Text: Jul2020
              Type: published
              Y: 2020
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              Value: 19961073
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              Value: 13
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              Value: 14
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            – TitleFull: Energies (19961073)
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