Journal Articles
Permanent URI for this collectionhttp://10.0.100.92:4000/handle/123456789/21
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Item Asymmetric spillover effects in energy markets(International Review of Economics & Finance, 2024-04) Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; Doğan, Buhari; Adekoya, Oluwasegun B.; Wohar, MarkThis paper explores the asymmetric relationship between clean and dirty energy markets. The study uses the time-varying and frequency-domain spillover approaches, while accounting for asymmetries. We use natural gas, gasoline, gas oil, heating oil, crude oil, coal, petroleum, kerosene, propane, and diesel to denote dirty energy markets and wind, solar and clean energy markets to denote clean energy markets. We use daily data running from May 18, 2011, to August 12, 2020. According to the results obtained, good news in fluctuations in global energy market indices increases the integration of international energy markets in the long run compared to bad news. Our result show that transmission of good and bad volatilities in global energy market indices are dispersed with different time-varying intensities. Empirical evidence further reveals that good news increases integration of international energy markets in the long run compared to bad news. Additionally, markets transmit more bad volatility on average than good volatility during global events. According to the results of the research, we foresee that portfolio managers and investors may experience difficulties in diversifying opportunities in financial volatility periods in the short term. Overall, our findings reveal asymmetric risk effects in investment opportunities between clean and dirty energy. As a result of this information, investors can diversify their investments in the clean energy sector in the long term by using the asymmetry in good and bad fluctuations.Item The Dynamic Relationship Between Gas and Crude Oil Markets and the Causal Impact of US Shale Gas(Computational Economics, 2024-06) Ghosh, Sudeshna; Tiwari, Aviral Kumar; Doğan, Buhari; Abakah, Emmanuel Joel AikinsAlthough the recent debate in energy economics on the importance of oil price indexation versus shale gases suggest that big data can be used in predictive analysis in energy economics, little is known particularly in the context of shale gas and oil price interlinkages. Grounding our investigations in such directions we investigate in this paper the relationship between gas and crude oil markets and the impact US shale gas by employing time-varying causality method by Shi et al. (J Time Ser Anal 39(6):966–987, 2018; J Financ Econom 18(1):158–180, 2020) and cross-quantilogram correlation approach by Han et al. (J Econom 193(1):251–270, 2016). In particular, as a representative of the crude oil market, we use OPEC oil; WTI; Crude oil Oman; Crude oil Dubai while for the gas market, we use natural gas prices of UK NBP (National Balancing Point), NYMEX HH (Henry Hub) and US shale gas prices. Data period is from 11th January 2013 to 8th September 2020. We find significant negative spillovers from crude oil markets to natural gas markets particularly during moderate market conditions. The results suggest crucial implications in energy economics literature, to diversify assets to hedge against risks. We further find strong causality association between oil markets, natural gas markets and further oil markets and shale gas markets. Our findings describe that aftermath of the shale-gas boom the predictability nexus between oil and natural gas increased. Once we condition for shale gas the significant negative spill overs from oil markets to natural gas markets increases in the long-run. We suggest important policy prescriptions which have interconnected market repercussions.Item Asymmetry in returns and volatility between green financial assets, sustainable investments, clean energy, and international stock markets(Research in International Business and Finance, 2025-01) Doğan, Buhari; Jabeur, Sami Ben; Tiwari, Aviral Kumar; Abakah, Emmanuel Joel AikinsThis paper presents empirical evidence on the asymmetric relationship between green investments and international stock markets. We employ the asymmetric versions of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018) for time-frequency connectedness, analyzing daily returns and volatilities from June 23, 2009, to June 23, 2022. Our study reveals significant time-frequency asymmetries in returns and volatility spillovers between green investments and developed equity markets in the short and long term. Regarding net directional spillovers, the equity markets in the United States, the United Kingdom, Italy, Germany, and France emerge as net transmitters of shocks. In contrast, green investments, notably those in sustainability and the environment, act primarily as net emitters of shocks. China and Japan are the primary recipients of these shocks. Meanwhile, green bonds generally function as net receivers of shocks, with occasional exceptions.