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Co-movement between oil price, [formula omitted] emission,renewable energy and energy equities: Evidence from GCC countries.
- Source :
-
Journal of Environmental Management . Nov2021, Vol. 297, pN.PAG-N.PAG. 1p. - Publication Year :
- 2021
-
Abstract
- Using the data from GCC countries, this paper analyses the co-movement between oil price, EU carbon allowance prices, global clean energy index and equity index from three GCC counties, namely, Kuwait, Saudi Arabia and the United Arab Emirates. Almost no previous research has investigated the dynamic interrelations in the conventional energy markets, like those of the GCC countries, against the dramatic growth in clean energy production and the new emissions trading schemes. Employing three different multivariate GARCH models, we document the existence of volatility spillover effects and co-movement among global clean energy production, crude oil price, CO 2 emission price and each of the three GCC energy stock markets. Furthermore, we found that the conditional variances of all return series are influenced by the shocks coming from the markets themselves. Volatilities in all the markets under consideration are highly persistent, and the long-run persistent volatilities are more pronounced especially for oil and CO 2 emission prices. The forecasting exercise demonstrates the superior performance of the multivariate diagonal-BEKK GARCH models. • We investigate the dynamic interrelations in the GCC energy equity markets. • Conditional variances are influenced by the shocks coming from the markets themselves. • The long-run persistent volatilities are more pronounced especially for oil and CO 2 emission prices. • Forecasting demonstrates the superior performance of the multivariate diagonal-BEKK GARCH. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03014797
- Volume :
- 297
- Database :
- Academic Search Index
- Journal :
- Journal of Environmental Management
- Publication Type :
- Academic Journal
- Accession number :
- 152162127
- Full Text :
- https://doi.org/10.1016/j.jenvman.2021.113350