Hedging potentials of green investments against climate and oil market risks

I. Adediran, R. Swaray, Aminat O. Orekoya, Balikis A. Kabir
{"title":"Hedging potentials of green investments against climate and oil market risks","authors":"I. Adediran, R. Swaray, Aminat O. Orekoya, Balikis A. Kabir","doi":"10.1108/frep-04-2022-0030","DOIUrl":null,"url":null,"abstract":"PurposeThis study aims to examine the ability of clean energy stocks to provide cover for investors against market risks related to climate change and disturbances in the oil market.Design/methodology/approachThe study adopts the feasible quasi generalized least squares technique to estimate a predictive model based on Westerlund and Narayan’s (2015) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk-based and climate risk-based clean energy predictive models are explored using Clark and West’s model (2007) and a modified Diebold & Mariano forecast evaluation test for nested and non-nested models, respectively.FindingsThe study finds ample evidence that clean energy stocks may hedge against oil market risks. This result is robust to alternative measures of oil risk and holds when applied to data from the COVID-19 pandemic. In contrast, the hedging effectiveness of clean energy against climate risks is limited to 4 of the 6 clean energy indices and restricted to climate risk measured with climate policy uncertainty.Originality/valueThe study contributes to the literature by providing extensive analysis of hedging effectiveness of several clean energy indices (global, the United States (US), Europe and Asia) and sectoral clean energy indices (solar and wind) against oil market and climate risks using various measures of oil risk (WTI (West Texas intermediate) and Brent volatility) and climate risk (climate policy uncertainty and energy and environmental regulation) as predictors. It also conducts forecast evaluations of the clean energy predictive models for nested and non-nested models.","PeriodicalId":122241,"journal":{"name":"Fulbright Review of Economics and Policy","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Fulbright Review of Economics and Policy","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/frep-04-2022-0030","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

Abstract

PurposeThis study aims to examine the ability of clean energy stocks to provide cover for investors against market risks related to climate change and disturbances in the oil market.Design/methodology/approachThe study adopts the feasible quasi generalized least squares technique to estimate a predictive model based on Westerlund and Narayan’s (2015) approach to evaluating the hedging effectiveness of clean energy stocks. The out-of-sample forecast evaluations of the oil risk-based and climate risk-based clean energy predictive models are explored using Clark and West’s model (2007) and a modified Diebold & Mariano forecast evaluation test for nested and non-nested models, respectively.FindingsThe study finds ample evidence that clean energy stocks may hedge against oil market risks. This result is robust to alternative measures of oil risk and holds when applied to data from the COVID-19 pandemic. In contrast, the hedging effectiveness of clean energy against climate risks is limited to 4 of the 6 clean energy indices and restricted to climate risk measured with climate policy uncertainty.Originality/valueThe study contributes to the literature by providing extensive analysis of hedging effectiveness of several clean energy indices (global, the United States (US), Europe and Asia) and sectoral clean energy indices (solar and wind) against oil market and climate risks using various measures of oil risk (WTI (West Texas intermediate) and Brent volatility) and climate risk (climate policy uncertainty and energy and environmental regulation) as predictors. It also conducts forecast evaluations of the clean energy predictive models for nested and non-nested models.
绿色投资对气候和石油市场风险的对冲潜力
本研究旨在检验清洁能源股为投资者提供抵御气候变化和石油市场动荡相关市场风险的能力。本研究基于Westerlund和Narayan(2015)评估清洁能源股票套期保值有效性的方法,采用可行的准广义最小二乘技术估计预测模型。分别使用Clark和West的模型(2007)和改进的Diebold & Mariano嵌套模型和非嵌套模型的预测评估测试,探索了基于石油风险和基于气候风险的清洁能源预测模型的样本外预测评估。研究发现充分的证据表明,清洁能源股票可以对冲石油市场的风险。这一结果适用于石油风险的替代指标,也适用于2019冠状病毒病大流行的数据。相比之下,清洁能源对气候风险的对冲有效性仅限于6个清洁能源指数中的4个,并且仅限于以气候政策不确定性衡量的气候风险。原创性/价值本研究通过广泛分析几种清洁能源指数(全球、美国(US)、欧洲和亚洲)和部门清洁能源指数(太阳能和风能)对石油市场和气候风险的对冲有效性,并使用各种石油风险措施(WTI(西德克萨斯中质原油)和布伦特原油波动率)和气候风险(气候政策不确定性和能源和环境监管)作为预测因素,为文献做出了贡献。并对嵌套模型和非嵌套模型进行了清洁能源预测模型的预测评价。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信