Quantile connectedness in renewable energy companies and related commodities during Covid-19 outbreak

Abstract

IMF indicated soaring metal prices, as cleantech firms are witnessing a meteoric rise in demand, and even dirty energy firms are changing their stance towards clean energy. Shock transmission (both positive and negative) is plausible as the world is chasing a net-zero emissions scenario. Therefore, we have investigated the top nine renewable energy companies globally with related metals (Nickel, Copper, Cobalt) from 3rd January 2017 to 3rd January 2022. This period also involves pre-Covid, Covid 1st Wave, Delta and Omicron. Our approach was QVAR, as suggested recently by Gabauer (J Multinatl Financ Manag 60:100680, 2021), which is a logical extension of the initial connectedness approach proposed by Diebold and Yilmaz (Int J Forecast 28(1): 57–66, 2012; J Econometr 182(1):119–134, 2014). We found several outcomes. Shock transmission is happening from both cleantech and dirty energy firms to metals. Connectedness (shock transmission) is increasing in tails. Moreover, connectedness in the lower upper quantiles is asymmetric, with clean energy companies tending to transmit positive shocks to metals. Therefore, mean-based connectedness could be ruled out. Metals such as Nickel, Cobalt, and Copper emerged as the net receivers of shocks. The firms with higher market capitalization producing clean energy emerged as significant net transmitters of shocks (Enphase, Orsted and VWS). The total Connectedness Indices (TCIs) are heterogeneous over time. TCI sharply increased immediately after Covid-19 fallout and remained at a relatively higher zone than pre-Covid levels. Wind energy firms (SSE and Orsted) emerged as the net transmitter among all pairwise directional connectedness; furthermost wind energy firms (SSE, ED and EDP) emerged as the moderate net receiver of shocks. This research provides many inputs towards the wind energy sector for researchers, practitioners and policymakers.