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Quartile risk dependence between clean energy markets and the U.S. travel and leisure index

Hongjun Zeng, Mohammad Abedin, Abdullahi D. Ahmed

Current Issues in Tourism, Pages: 1 - 25

Swansea University Author: Mohammad Abedin

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DOI (Published version): 10.1080/13683500.2024.2381716

Abstract

We employed the Cross-quantilogram method for the first time to assess the cross-quantile risk relationship among the clean energy market and the Dow Jones U.S. Travel & Leisure Index during the period from 2014 to 2023. This investigation aimed to explore the asymmetric nature of the risk-depen...

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Published in: Current Issues in Tourism
ISSN: 1368-3500 1747-7603
Published: Informa UK Limited 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa67180
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first_indexed 2024-07-25T10:42:36Z
last_indexed 2024-07-25T10:42:36Z
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spelling v2 67180 2024-07-25 Quartile risk dependence between clean energy markets and the U.S. travel and leisure index 4ed8c020eae0c9bec4f5d9495d86d415 Mohammad Abedin Mohammad Abedin true false 2024-07-25 CBAE We employed the Cross-quantilogram method for the first time to assess the cross-quantile risk relationship among the clean energy market and the Dow Jones U.S. Travel & Leisure Index during the period from 2014 to 2023. This investigation aimed to explore the asymmetric nature of the risk-dependence structure. Our findings reveal that, under market stability conditions, the U.S. Travel & Leisure index exhibited the highest correlation with all clean energy stocks. However, the risk correlation with the NASDAQ OMX Geothermal, NASDAQ OMX Solar, and NASDAQ OMX Wind Indices significantly decreased during longer investment horizons and extreme quantiles. Notably, in the extreme tail, the correlation between specific clean energy markets and the U.S. Travel & Leisure index displayed heterogeneity. Our results have new practical implications for policymakers and investors who need to capture the risk connection among clean energy indices and the U.S. Travel and Leisure sector. Journal Article Current Issues in Tourism 0 1 25 Informa UK Limited 1368-3500 1747-7603 Clean energy markets; U.S. Travel and leisure index; cross-quantilogram; risk dependence; granger-causality in quantiles 9 8 2024 2024-08-09 10.1080/13683500.2024.2381716 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2024-08-29T16:14:37.2403929 2024-07-25T11:41:02.9762024 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Hongjun Zeng 1 Mohammad Abedin 2 Abdullahi D. Ahmed 3 67180__31090__5095875848ac41baa683bbac0f0b4588.pdf 67180.VoR.pdf 2024-08-12T17:13:01.5456517 Output 2943250 application/pdf Version of Record true © 2024 The Author(s). This is an Open Access article distributed under the terms of the Creative Commons Attribution License. true eng http://creativecommons.org/licenses/by/4.0/
title Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
spellingShingle Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
Mohammad Abedin
title_short Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
title_full Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
title_fullStr Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
title_full_unstemmed Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
title_sort Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Hongjun Zeng
Mohammad Abedin
Abdullahi D. Ahmed
format Journal article
container_title Current Issues in Tourism
container_volume 0
container_start_page 1
publishDate 2024
institution Swansea University
issn 1368-3500
1747-7603
doi_str_mv 10.1080/13683500.2024.2381716
publisher Informa UK Limited
college_str Faculty of Humanities and Social Sciences
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hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
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description We employed the Cross-quantilogram method for the first time to assess the cross-quantile risk relationship among the clean energy market and the Dow Jones U.S. Travel & Leisure Index during the period from 2014 to 2023. This investigation aimed to explore the asymmetric nature of the risk-dependence structure. Our findings reveal that, under market stability conditions, the U.S. Travel & Leisure index exhibited the highest correlation with all clean energy stocks. However, the risk correlation with the NASDAQ OMX Geothermal, NASDAQ OMX Solar, and NASDAQ OMX Wind Indices significantly decreased during longer investment horizons and extreme quantiles. Notably, in the extreme tail, the correlation between specific clean energy markets and the U.S. Travel & Leisure index displayed heterogeneity. Our results have new practical implications for policymakers and investors who need to capture the risk connection among clean energy indices and the U.S. Travel and Leisure sector.
published_date 2024-08-09T16:14:35Z
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score 11.036684

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