Tail risk connectedness in clean energy and oil financial market

Springer Science and Business Media LLC - Tập 334 Số 1-3 - Trang 575-599 - 2024
Matteo Foglia1, Eliana Angelini2, Toan Luu Duc Huynh3
1Department of Economics, Management and Business Law, "Aldo Moro" University of Bari, Bari, Italy
2Department of Economics, "G.d'Annunzio" University of Pescara, Viale Pindaro 42, 65127, Pescara, PE, Italy
3Southampton Business School, University of Southampton, Southampton SO17 1BJ, UK

Tóm tắt

AbstractThis research investigates the connectedness and the tail risk spillover between clean energy and oil firms, from January 2011 to October 2021. To this, we use the Tail-Event driven NETworks (TENET) risk model. This approach allows for a measurement of the dynamics of tail-risk spillover for each sector and firm. Hence, we can provide a detailed picture of the existing extreme relationships within these markets. We find that the total connection between the markets varies during the period analysed, showing how the uncertainty in oil price plays a critical role in the risk dynamics for oil companies. Also, we find that relationships between energy firms tend to be intrasectoral; that is, each sector receives (emits) risk from (to) itself. These results can have important practical implications for risk management and policymakers.

Từ khóa


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