Browsing by Author "Kumar, Satish"

Now showing 1 - 2 of 2

Correlation and price spillover effects among green assets
(Annals of Operations Research, 2024-07-25) Tiwari· Aviral Kumar; Kumar, Satish; Joel,Emmanuel; Abakah,Aikins
This paper examines the spillover effects, connectedness and correlation among eco-friendly asset classes using robust estimation techniques such as rolling window wavelet correlation, multiscale quantile correlation coefficient and quantile VAR approaches. Specifically, the eco-friendly assets examined include the S&P Green Bond Select Index Price Index, the S&P Green Bond Index Price Index and the Dow Jones Sustainability Index World Price Index. Additional variables include the constituents of the MSCI Global Environment Price Index: Alternative Energy, Green Building, and Pollution Prevention or Clean Technology. We use daily returns from August 31, 2010, to January 13, 2022. Our results confirm that green bond indices offer opportunities for diversification across varying quantiles and time scales when paired with green stocks. Results confirm that investors can exploit the hedging and safe-haven potential of green bonds against green stocks in times of turbulent market.
World energy futures market efficiency and its determinants; evidence from white noise test based on block-wise wild bootstrap approach
(Applied Economics, 2024-09-23) Dash, Ashutosh; Jena,Sangram Keshari; Tiwari, Aviral Kumar; Kumar, Satish
The study examines the time-varying efficiency of nine energy futures traded across different exchanges with varied trade settlement methods and pricing currency using the novel white noise test based on block-wsie wild bootstrap approach. The advantage of using this approach is that it relaxes the assumption of serial independence and the martingale difference sequence. Time-varying efficiency is observed for all nine energy futures consistent with the Adoptive Market Hypothesis (AMH). The three most (least) efficient energy futures based on efficiency ratio are Coal, Gasoline and NaturalGas (WTI, Brent and OmanCrude). Quantile regression analysis shows that the higher the level of illiquidity furthers the level of efficiency towards inefficiency (high level of efficiency) in the case of a less (more) efficient market. A mixed impact of volatility is observed across energy futures. No differential impact is found due to exchange, method of settlement and pricing currency. The robustness of the results is investigated, policy implications are discussed, and further research is recommended