Hedging dynamics between oil and clean energy stock indices amid the Russia-Ukraine war and geopolitical turmoil

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2025-06-14 DOI:10.1016/j.frl.2025.107753

Kakali Kanjilal , Manas Paul , Sajal Ghosh

引用次数: 0

Abstract

Geopolitical turmoil, such as the Russia-Ukraine war, compels a renewed examination of the interaction and hedging effectiveness between clean and dirty energy assets. While prior studies focus on crude oil prices, we employ oil and clean energy indexes from 24.02.2022 to 07.06.2024, in a novel integrated mean-variance model. Accounting for geopolitical risks, investor fear, and carbon prices, we find oil price surges reduce clean energy returns, with no feedback. The model delivers 70 % hedging effectiveness versus 49 % for the variance-only approach. Findings highlight the reinforcement of oil’s financial role and the weakening of clean energy investment amid global instability.

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在俄乌战争和地缘政治动荡中，石油和清洁能源股票指数之间的对冲动态

地缘政治动荡，如俄乌战争，迫使人们重新审视清洁能源和污染能源资产之间的相互作用和对冲效果。之前的研究主要集中在原油价格上，我们采用了从2022年2月24日到2024年6月7日的石油和清洁能源指数，在一个新的综合均值-方差模型中。考虑到地缘政治风险、投资者恐惧和碳价格，我们发现油价飙升降低了清洁能源的回报，而且没有反馈。该模型提供70%的对冲效率，而仅方差方法提供49%的对冲效率。研究结果强调，在全球不稳定的情况下，石油的金融作用得到加强，清洁能源投资减弱。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance