Based on research conducted by Chordia et al. in 2000, we analyzed the volatility of energy indices to determine whether there is a commonality among them. Our dataset included green, sustainable, and brown energy indices, and we discovered that there is indeed a commonality in energy markets, with brown energy exhibiting the least commonality. Furthermore, we found that the commonality in volatility among energy markets has decreased since the Paris Agreement was signed. These results indicate that the Paris Agreement and other global policy initiatives are crucial for energy markets.
Commonality in volatility among green, brown, and sustainable energy indices / Banerjee, A. K.; Sensoy, A.; Rahman, M. R.; Palma, A.. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 64:(2024). [10.1016/j.frl.2024.105384]
Commonality in volatility among green, brown, and sustainable energy indices
Palma A.
2024
Abstract
Based on research conducted by Chordia et al. in 2000, we analyzed the volatility of energy indices to determine whether there is a commonality among them. Our dataset included green, sustainable, and brown energy indices, and we discovered that there is indeed a commonality in energy markets, with brown energy exhibiting the least commonality. Furthermore, we found that the commonality in volatility among energy markets has decreased since the Paris Agreement was signed. These results indicate that the Paris Agreement and other global policy initiatives are crucial for energy markets.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.