Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis

Motivated by lack of empirical research on volatility linkages among clean-energy stock markets and fossil fuel markets during the recent Covid-19 pandemic, the study examines the volatility connectedness network among clean-energy stocks and fossil fuels such as crude WTI, natural gas, gas oil, and fuel oil. In addition, we also compare the influence of financial crises such as the Global Financial Crisis (GFC), oil crisis, and Covid-19 pandemic crisis is driving the volatility connectedness network of energy markets. We apply Diebold and Yilmaz (2012) [1] time-domain and Barunik and Krehlik (Barunik and Kr = ehlik, 2018) [2] frequency-domain approach. The empirical results uncover weak volatility connections among clean-energy stocks and fossil fuel markets. Meanwhile, we find strong volatility interconnectedness between petroleum markets. Further, the results show that most of the volatility spillovers among energy markets persist in the short-run, whereas the findings display weak volatility transmission among the sample markets in the long run. Furthermore, the findings also unveil that contagion effects between the energy markets increase in the crisis periods, intensifying the volatility interlinkages among the sample energy markets. The findings have important significance for energy policymakers and investors. (c) 2021 Elsevier Ltd. All rights reserved.

Automated summary

This study investigates the volatility linkages among clean-energy stock markets and fossil fuel markets during the Covid-19 pandemic, revealing weak volatility connections among clean-energy stocks and strong volatility interconnectedness between petroleum markets. The findings have significant implications for energy policymakers and investors.