Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices

We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO)...

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Autores principales:	Xin Liu, Elie Bouri, Naji Jalkh
Formato:	article
Lenguaje:	EN
Publicado:	Frontiers Media S.A. 2021
Materias:	green bonds clean energy stocks crude oil equity indices DECO equicorrelation drivers of integration Environmental sciences GE1-350
Acceso en línea:	https://doaj.org/article/538ddd0dd46d41b5872225871622d909
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spelling	oai:doaj.org-article:538ddd0dd46d41b5872225871622d9092021-12-02T00:33:31ZDynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices2296-665X10.3389/fenvs.2021.786528https://doaj.org/article/538ddd0dd46d41b5872225871622d9092021-12-01T00:00:00Zhttps://www.frontiersin.org/articles/10.3389/fenvs.2021.786528/fullhttps://doaj.org/toc/2296-665XWe examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.Xin LiuElie BouriNaji JalkhFrontiers Media S.A.articlegreen bondsclean energy stockscrude oilequity indicesDECO equicorrelationdrivers of integrationEnvironmental sciencesGE1-350ENFrontiers in Environmental Science, Vol 9 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	green bonds clean energy stocks crude oil equity indices DECO equicorrelation drivers of integration Environmental sciences GE1-350
spellingShingle	green bonds clean energy stocks crude oil equity indices DECO equicorrelation drivers of integration Environmental sciences GE1-350 Xin Liu Elie Bouri Naji Jalkh Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices
description	We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.
format	article
author	Xin Liu Elie Bouri Naji Jalkh
author_facet	Xin Liu Elie Bouri Naji Jalkh
author_sort	Xin Liu
title	Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices
title_short	Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices
title_full	Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices
title_fullStr	Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices
title_full_unstemmed	Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices
title_sort	dynamics and determinants of market integration of green, clean, dirty energy investments and conventional stock indices
publisher	Frontiers Media S.A.
publishDate	2021
url	https://doaj.org/article/538ddd0dd46d41b5872225871622d909
work_keys_str_mv	AT xinliu dynamicsanddeterminantsofmarketintegrationofgreencleandirtyenergyinvestmentsandconventionalstockindices AT eliebouri dynamicsanddeterminantsofmarketintegrationofgreencleandirtyenergyinvestmentsandconventionalstockindices AT najijalkh dynamicsanddeterminantsofmarketintegrationofgreencleandirtyenergyinvestmentsandconventionalstockindices
_version_	1718403674779156480

Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices

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