The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations

The production of clean energy is crucial for protecting the environment and satisfying the future demand for energy. However, the growth in clean energy production and consumption is influenced by the developments in the oil and the clean energy technology markets. Thus, it is crucial to study the association among these markets and this is the main objective of this research. Compared to the existing literature, we provide evidence from multiple time horizons. In particular, we combine wavelets over various time scales with multivariate GARCH (MGARCH) to find significant bidirectional return and risk transfer from oil and technology to the clean energy market. The transmissions are found to be more pronounced at longer time horizons. These results highlight the importance of certainty and stability in the oil and technology markets for the growth of clean energy particularly in the long term. (C) 2018 Elsevier Ltd. All rights reserved.