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Asymmetric dependency among US national financial conditions and clean energy markets

Hongjun Zeng, Mohammad Abedin Orcid Logo, Ran Wu, Abdullahi D. Ahmed

Global Finance Journal, Volume: 63, Start page: 101046

Swansea University Author: Mohammad Abedin Orcid Logo

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DOI (Published version): 10.1016/j.gfj.2024.101046

Abstract

This paper examines the relationship between the US National Financial Conditions Index (NFCI) and the clean energy industry using quantile and frequency connectedness, cross-quantile, and wavelet quantile correlation (WQC) techniques. Results reveal (a) a stronger dependence between the NFCI and cl...

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Published in: Global Finance Journal
ISSN: 1044-0283 1873-5665
Published: Elsevier BV 2024
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URI: https://cronfa.swan.ac.uk/Record/cronfa67898
first_indexed 2024-10-03T07:42:52Z
last_indexed 2024-12-03T19:47:13Z
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spelling 2024-12-03T14:29:54.5829262 v2 67898 2024-10-03 Asymmetric dependency among US national financial conditions and clean energy markets 4ed8c020eae0c9bec4f5d9495d86d415 0000-0002-4688-0619 Mohammad Abedin Mohammad Abedin true false 2024-10-03 CBAE This paper examines the relationship between the US National Financial Conditions Index (NFCI) and the clean energy industry using quantile and frequency connectedness, cross-quantile, and wavelet quantile correlation (WQC) techniques. Results reveal (a) a stronger dependence between the NFCI and clean energy under bullish market states. Moreover, the total connectedness between the NFCI and clean energy mostly exhibits time-varying characteristics. In particular, clean energy has a greater spillover effect than the NFCI. (b) Dynamic frequency total connectedness at extreme quantiles provided a more comprehensive view of structural shocks in financial markets, and major crises, such as COVID-19, significantly amplified this connectedness. Overall, the WilderHill Clean Energy Index and the NASDAQ OMX Renewable Energy Index demonstrate substantial potential for hedging financial conditions. (c) The cross-quantile correlation results revealed an asymmetric dependency, demonstrating a sustained significant positive relationship between the NFCI and clean energy index (CEI) across the relative higher quantiles and middle quantiles. The WQC showed that the NFCI and specific CEIs tended to exhibit the strongest positive correlations in nonextreme quantiles and lower frequencies. These results can be of considerable interest to various financial market participants. Journal Article Global Finance Journal 63 101046 Elsevier BV 1044-0283 1873-5665 US national financial condition, clean energy markets, quantile connectedness, frequency connectedness, cross-quantilogram, wavelet quantile correlation 1 12 2024 2024-12-01 10.1016/j.gfj.2024.101046 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2024-12-03T14:29:54.5829262 2024-10-03T08:32:05.0727552 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Hongjun Zeng 1 Mohammad Abedin 0000-0002-4688-0619 2 Ran Wu 3 Abdullahi D. Ahmed 4
title Asymmetric dependency among US national financial conditions and clean energy markets
spellingShingle Asymmetric dependency among US national financial conditions and clean energy markets
Mohammad Abedin
title_short Asymmetric dependency among US national financial conditions and clean energy markets
title_full Asymmetric dependency among US national financial conditions and clean energy markets
title_fullStr Asymmetric dependency among US national financial conditions and clean energy markets
title_full_unstemmed Asymmetric dependency among US national financial conditions and clean energy markets
title_sort Asymmetric dependency among US national financial conditions and clean energy markets
author_id_str_mv 4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv 4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author Mohammad Abedin
author2 Hongjun Zeng
Mohammad Abedin
Ran Wu
Abdullahi D. Ahmed
format Journal article
container_title Global Finance Journal
container_volume 63
container_start_page 101046
publishDate 2024
institution Swansea University
issn 1044-0283
1873-5665
doi_str_mv 10.1016/j.gfj.2024.101046
publisher Elsevier BV
college_str Faculty of Humanities and Social Sciences
hierarchytype
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 0
active_str 0
description This paper examines the relationship between the US National Financial Conditions Index (NFCI) and the clean energy industry using quantile and frequency connectedness, cross-quantile, and wavelet quantile correlation (WQC) techniques. Results reveal (a) a stronger dependence between the NFCI and clean energy under bullish market states. Moreover, the total connectedness between the NFCI and clean energy mostly exhibits time-varying characteristics. In particular, clean energy has a greater spillover effect than the NFCI. (b) Dynamic frequency total connectedness at extreme quantiles provided a more comprehensive view of structural shocks in financial markets, and major crises, such as COVID-19, significantly amplified this connectedness. Overall, the WilderHill Clean Energy Index and the NASDAQ OMX Renewable Energy Index demonstrate substantial potential for hedging financial conditions. (c) The cross-quantile correlation results revealed an asymmetric dependency, demonstrating a sustained significant positive relationship between the NFCI and clean energy index (CEI) across the relative higher quantiles and middle quantiles. The WQC showed that the NFCI and specific CEIs tended to exhibit the strongest positive correlations in nonextreme quantiles and lower frequencies. These results can be of considerable interest to various financial market participants.
published_date 2024-12-01T20:34:59Z
_version_ 1821348514560475136
score 11.04748

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