Dynamic correlations and volatility spillovers between subsectoral clean-energy stocks and commodity futures markets: A hedging perspective

Simple item page
dc.contributor.authorCoskun, Merve
dc.date.accessioned2026-02-06T18:33:35Z
dc.date.issued2023
dc.departmentDoğu Akdeniz Üniversitesi
dc.description.abstractThis study investigates the time-varying connectedness between subsectoral clean-energy stocks and fossil fuel energy commodities (crude oil, natural gas, and coal) over the period of December 2013-January 2023 employing the Diebold and Yilmaz approach and the dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model. According to the findings, oil transmits the highest volatility spillover shocks to biofuels, and the least to the fuel cell industry. Both natural gas and coal transmit the highest volatility spillover shocks to energy storage, and the least to geothermal and green information technology, respectively. The study also finds strong and time-varying volatility connectedness among clean-energy assets and fossil fuels, significantly affected by global extreme events, such as the COVID-19 pandemic and the Russia-Ukraine conflict. Additionally, the study provides time-varying and mean optimal hedge ratios with optimal portfolio weights for investors. The empirical results are robust, and important portfolio and policy implications based on empirical findings are provided.
dc.description.sponsorshipThe author grants permission to The Journal of Futures Markets to publish the findings of this paper in their academic journal, acknowledging that the research may be accessed, shared, and cited by other researchers, while ensuring the confidentiality an
dc.description.sponsorshipThe author grants permission to The Journal of Futures Markets to publish the findings of this paper in their academic journal, acknowledging that the research may be accessed, shared, and cited by other researchers, while ensuring the confidentiality and anonymity of any personal identifiable information provided.
dc.identifier.doi10.1002/fut.22454
dc.identifier.endpage1749
dc.identifier.issn0270-7314
dc.identifier.issn1096-9934
dc.identifier.issue12
dc.identifier.scopus2-s2.0-85175731366
dc.identifier.scopusqualityQ2
dc.identifier.startpage1727
dc.identifier.urihttps://doi.org/10.1002/fut.22454
dc.identifier.urihttps://hdl.handle.net/11129/11375
dc.identifier.volume43
dc.identifier.wosWOS:001065342900001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherWiley
dc.relation.ispartofJournal of Futures Markets
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WoS_20260204
dc.subjectclean-energy stock
dc.subjectDCC-GARCH
dc.subjectfossil fuels
dc.subjecthedging strategies
dc.subjectvolatility spillovers
dc.titleDynamic correlations and volatility spillovers between subsectoral clean-energy stocks and commodity futures markets: A hedging perspective
dc.typeArticle

Files

Collections

WoS Indexed Publications Collection
Scopus İndeksli Yayınlar Koleksiyonu