000130585 001__ 130585
000130585 005__ 20240126184245.0
000130585 0247_ $$2doi$$a10.3390/math9151787
000130585 0248_ $$2sideral$$a126197
000130585 037__ $$aART-2021-126197
000130585 041__ $$aeng
000130585 100__ $$0(orcid)0000-0003-1205-1756$$aGargallo Pilar$$uUniversidad de Zaragoza
000130585 245__ $$aCo-movements between eu ets and the energy markets: A var-dcc-garch approach
000130585 260__ $$c2021
000130585 5060_ $$aAccess copy available to the general public$$fUnrestricted
000130585 5203_ $$aThis paper analyzes the co-movements of prices of fossil fuels, energy stock markets and EU allowances. This analysis is conducted in order to identify the spillover effect of volatility and correlation among these financial markets, and to provide a scientific basis that shows the interest of incorporating sustainable assets in the design of minimum risk strategies of investment. To achieve this goal, we have used a Vector Autoregressive-Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (VAR-DCC-GARCH) model that also incorporates a stock index of industrial companies as a leading indicator of the level of economic activity. In addition, the paper conducts an impulse response analysis to determine how unexpected shocks to prices are propagated along time, and, in particular, how they affect prices of the others, both in mean, variance and correlation. Therefore, the results of this one-and two-dimensional analysis allow for the study of short and long run dynamics of the relationship among those prices, thus, providing greater meaning and information for investors, which has implications for building their portfolios. The analyzed period was from January 2010 to February 2021, so that the data include half of phase II, full phase III and the onset of phase IV of the EU ETS, as well as the COVID-19 outbreak in the European context. We also analyzed whether the EUA price impulses the demand of clean energy stocks, which has important implications for the objective of triggering the investment in clean energy. Our results show the transmission mechanism of all of those prices, which are relevant not only for investors but also for policymakers to construct an early-warning system, revealing the most important transmission channels. Moreover, from an investment viewpoint, we observe a decline in dirty energies and a rise in the clean energy market, which might be an indication of the progress towards the energy transition to renewables sources within a circular economy perspective. Therefore, this shows that the EU ETS is achieving its goals, and that clean energy companies, aligned with their role towards socially responsible initiatives, are also gaining acceptance in terms of investments, which would be beneficial for the environment.
000130585 536__ $$9info:eu-repo/grantAgreement/ES/DGA/S11-20R-CEMBE$$9info:eu-repo/grantAgreement/ES/DGA/S41-17R-CREVALOR
000130585 540__ $$9info:eu-repo/semantics/openAccess$$aby$$uhttp://creativecommons.org/licenses/by/3.0/es/
000130585 590__ $$a2.592$$b2021
000130585 591__ $$aMATHEMATICS$$b21 / 333 = 0.063$$c2021$$dQ1$$eT1
000130585 592__ $$a0.538$$b2021
000130585 593__ $$aEngineering (miscellaneous)$$c2021$$dQ2
000130585 593__ $$aComputer Science (miscellaneous)$$c2021$$dQ2
000130585 594__ $$a2.9$$b2021
000130585 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000130585 700__ $$0(orcid)0000-0003-2448-5228$$aLample Luis
000130585 700__ $$0(orcid)0000-0003-1394-9816$$aMiguel Jesús A.$$uUniversidad de Zaragoza
000130585 700__ $$0(orcid)0000-0002-5788-6661$$aSalvador Manuel$$uUniversidad de Zaragoza
000130585 7102_ $$14014$$2623$$aUniversidad de Zaragoza$$bDpto. Economía Aplicada$$cÁrea Métodos Cuant.Econ.Empres
000130585 773__ $$g9, 15 (2021), 1787 [36 pp.]$$pMathematics (Basel)$$tMathematics$$x2227-7390
000130585 8564_ $$s1639549$$uhttps://zaguan.unizar.es/record/130585/files/texto_completo.pdf$$yVersión publicada
000130585 8564_ $$s2660341$$uhttps://zaguan.unizar.es/record/130585/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
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000130585 951__ $$a2024-01-26-18:12:06
000130585 980__ $$aARTICLE