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How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices

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cris.lastimport.scopus2024-02-12T20:51:17Z
dc.abstract.enThe unexpected Russian invasion of Ukraine created greater uncertainty about unrestricted access to fossil commodities. Therefore, in response to the growing challenges of energy security and climate change, renewable energy could open up new energy sources and investment opportunities for market participants. The main goal of this research is to investigate the volatility spillovers of dirty and clean energy markets versus global stock indices, in situations of rising geopolitical risk. To reveal crucial changes in shock transmission during the period from August 1, 2014 to May 27, 2022, we used volatility connectedness indices based on the novel methodology proposed by Diebold and Yilmaz, 2012, Diebold and Yilmaz, 2014, Diebold and Yilmaz, 2015, as well as structural breaks. Furthermore, our study investigates the advantages and disadvantages of heterogeneous diversification in green energy for hedging strategies. Optimal weights and hedge ratios are calculated for portfolio diversification and risk management. We find that clean energy indices generally show lower risk than global equity markets; however, the cost of hedging in renewable energy assets is higher compared to non-renewable energy indices.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorUrjasz, Szczepan
dc.contributor.authorKarkowska, Renata
dc.date.accessioned2024-01-25T03:29:40Z
dc.date.available2024-01-25T03:29:40Z
dc.date.copyright2023-04-03
dc.date.issued2023
dc.description.accesstimeAT_PUBLICATION
dc.description.financeŚrodki finansowe, o których mowa w art. 365 pkt. 2 ustawy
dc.description.versionFINAL_PUBLISHED
dc.description.volume85
dc.identifier.doi10.1016/J.INTFIN.2023.101768
dc.identifier.issn1042-4431
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/108643
dc.identifier.weblinkhttps://api.elsevier.com/content/article/PII:S1042443123000367?httpAccept=text/xml
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofJournal of International Financial Markets, Institutions and Money
dc.relation.pages101768
dc.rightsCC-BY
dc.sciencecloudnosend
dc.subject.enRenewable energy
dc.subject.enFossil resources
dc.subject.enStock market
dc.subject.enConnectedness
dc.subject.enPortfolio diversification
dc.subject.enRussia-Ukraine war
dc.subject.enVolatility
dc.titleHow does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices
dc.typeJournalArticle
dspace.entity.typePublication