Repository logo
 
Publication

Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets

2023-01Journal article Open access
Simple item page
dc.contributor.authorHanif, Waqas
dc.contributor.authorMensi, Walid
dc.contributor.authorGubareva, Mariya
dc.contributor.authorTeplova, Tamara
dc.date.accessioned2023-02-02T13:19:15Z
dc.date.available2023-02-02T13:19:15Z
dc.date.issued2023-01
dc.description.abstractWe examine the time-frequency co-movements and return and volatility spillovers between the rare earths and six major renewable energy stocks. We employ the wavelet analysis and the spillover index methodology from January 1, 2018 to May 15, 2020. We report that the COVID-19-triggered significant increase in co-movements and spillovers in returns and volatility between the rare earths and renewable energy returns and volatility. The rare earths act as net recipient of both return and volatility spillovers, while the clean energy stocks are net transmitters of return and volatility spillovers before and during the COVID-19 crisis. The solar and wind stocks are net transmitters/receivers of spillovers before/during the pandemic. The remaining markets shift from net spillover receivers to transmitters or vice versa; evidencing the effects of the pandemic. Our results show that cross-market hedge strategies may have their efficiency impaired during the periods of crises implying a necessity of portfolio rebalancing.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.resourpol.2022.103196pt_PT
dc.identifier.issn1873-7641
dc.identifier.urihttp://hdl.handle.net/10400.1/18989
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relationCenter for Advanced Studies in Management and Economics
dc.relationCSG - Research in Social Sciences and Management
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/pt_PT
dc.subjectRenewable energy indicespt_PT
dc.subjectREMX rare Earth indexpt_PT
dc.subjectReturn and volatility spilloverspt_PT
dc.subjectWavelet-based analysispt_PT
dc.subjectSpillover index methodologypt_PT
dc.subjectCOVID-19pt_PT
dc.titleImpacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock marketspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardTitleCenter for Advanced Studies in Management and Economics
oaire.awardTitleCSG - Research in Social Sciences and Management
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDP%2F04007%2F2020/PT
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UIDB%2F04521%2F2020/PT
oaire.citation.startPage103196pt_PT
oaire.citation.titleResources Policypt_PT
oaire.citation.volume80pt_PT
oaire.fundingStream6817 - DCRRNI ID
oaire.fundingStream6817 - DCRRNI ID
person.familyNameHanif
person.givenNameWaqas
person.identifier.ciencia-id861A-7BB4-89FE
person.identifier.orcid0000-0002-0034-2049
person.identifier.scopus-author-id57201879548
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isAuthorOfPublication.latestForDiscovery4a080072-0db9-42cd-925b-24ccf0c4b046
relation.isProjectOfPublicationff057966-c35f-4780-902c-73db27045448
relation.isProjectOfPublication6224ba96-466e-41c1-83e6-3cf57ce9c4fa
relation.isProjectOfPublication.latestForDiscovery6224ba96-466e-41c1-83e6-3cf57ce9c4fa

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets.pdf
Size:
22.67 MB
Format:
Adobe Portable Document Format
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
3.46 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

FEC2-Artigos (em revistas ou actas indexadas)