Does carbon asset add value to clean energy market? Evidence from EU

IF 5.5 Q1 BUSINESS, FINANCE
Green Finance Pub Date : 2021-01-01 DOI:10.3934/gf.2021023
Memoona Kanwal, Hashim Khan
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引用次数: 11

Abstract

This paper examines if clean energy stocks help investors in managing carbon risk. We use the price of the European Union Allowance (EUA) and European clean energy index (ERIX) for the three phases of the EU-Emission Trading Scheme. Analyzing the time-varying correlation and volatility of EUA stock and ERIX through generalized orthogonal GO-GARCH model, the empirical results reveal relative independence of the European renewable energy market from the carbon market providing diversification benefits and value addition by including carbon assets in clean energy stock portfolio. Furthermore, three portfolios with different weight allocation strategies reveal that the carbon asset provides risk and downside risk benefits when mixed with a clean energy stock portfolio. These results are useful for investors who enter the market for value maximization and the regulators striving to make strategies for managing carbon risk.
碳资产是否为清洁能源市场增加了价值?来自欧盟的证据
本文考察了清洁能源股票是否有助于投资者管理碳风险。我们在欧盟排放交易计划的三个阶段使用欧盟配额(EUA)和欧洲清洁能源指数(ERIX)的价格。通过广义正交GO-GARCH模型分析EUA股票和ERIX的时变相关性和波动性,实证结果表明欧洲可再生能源市场相对独立于碳市场,通过将碳资产纳入清洁能源股票组合,提供了多元化效益和增值。此外,三种不同权重分配策略的投资组合表明,当碳资产与清洁能源股票组合混合时,碳资产具有风险和下行风险收益。这些结果对为了价值最大化而进入市场的投资者和努力制定碳风险管理策略的监管机构都是有益的。
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
Green Finance
Green Finance Multiple-
CiteScore
9.60
自引率
3.50%
发文量
14
审稿时长
6 weeks
期刊介绍: Green Finance is an international, interdisciplinary Open Access journal dedicated to green finance, environmental, and sustainability research and practice. It offers a platform for publishing original contributions and technical reviews on green finance and related topics, following a rigorous peer-review process. Accepted article types include original research, reviews, editorials, letters, and conference reports.
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