Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices
We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO)...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2021-12-01
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| Series: | Frontiers in Environmental Science |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fenvs.2021.786528/full |
| _version_ | 1818693690406731776 |
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| author | Xin Liu Elie Bouri Naji Jalkh |
| author_facet | Xin Liu Elie Bouri Naji Jalkh |
| author_sort | Xin Liu |
| collection | DOAJ |
| description | We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration. |
| first_indexed | 2024-12-17T13:17:41Z |
| format | Article |
| id | doaj.art-538ddd0dd46d41b5872225871622d909 |
| institution | Directory Open Access Journal |
| issn | 2296-665X |
| language | English |
| last_indexed | 2024-12-17T13:17:41Z |
| publishDate | 2021-12-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Environmental Science |
| spelling | doaj.art-538ddd0dd46d41b5872225871622d9092022-12-21T21:46:56ZengFrontiers Media S.A.Frontiers in Environmental Science2296-665X2021-12-01910.3389/fenvs.2021.786528786528Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock IndicesXin Liu0Elie Bouri1Naji Jalkh2School of Economics and Management, MianYang Teachers’ College, MianYang, ChinaSchool of Business, Lebanese American University, Beirut, LebanonFaculty of Business and Management, Saint Joseph University, Beirut, LebanonWe examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.https://www.frontiersin.org/articles/10.3389/fenvs.2021.786528/fullgreen bondsclean energy stockscrude oilequity indicesDECO equicorrelationdrivers of integration |
| spellingShingle | Xin Liu Elie Bouri Naji Jalkh Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices Frontiers in Environmental Science green bonds clean energy stocks crude oil equity indices DECO equicorrelation drivers of integration |
| title | Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices |
| title_full | Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices |
| title_fullStr | Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices |
| title_full_unstemmed | Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices |
| title_short | Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices |
| title_sort | dynamics and determinants of market integration of green clean dirty energy investments and conventional stock indices |
| topic | green bonds clean energy stocks crude oil equity indices DECO equicorrelation drivers of integration |
| url | https://www.frontiersin.org/articles/10.3389/fenvs.2021.786528/full |
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