Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs.

ABSTRACT: Investment in Green energy is becoming a popular alternative asset class for investors, primarily due to its environment-friendly attributes. However, there is a dire need for subjective evaluation of this emerging asset class based on the risk-return dynamics to which investors are exposed. To respond to this call, in this study, we conduct this evaluation utilizing a unique and rich data set consisting of daily prices of exchange-traded funds (ETFs) established on different asset classes. We use Vector autoregression and Baba-Engle-Kraft-Kroner parameterization of multivariate GARCH models and assess the relative strength of return and volatility spillovers from the Green and Grey energy markets. Our results reveal the return shocks originated in the Green energy market and transmitted t

SUBMITTER: Rizvi SKA 

PROVIDER: S-EPMC8600107 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature