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Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach
Holy Spirit Univ Kaslik, Lebanon.
Univ St Joseph, Lebanon.
Univ Vaasa, Finland.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2019 (English)In: Energy, ISSN 0360-5442, E-ISSN 1873-6785, Vol. 178, p. 544-553Article in journal (Refereed) Published
Abstract [en]

In this study, we examine the potential roles of gold and crude oil as safe-haven assets against extreme down movements in clean energy stock indices. We employ copulas on daily data from November 21st, 2003 to March 30th, 2018 covering two clean energy stock indices, the Samp;P Global Clean Energy and the WilderHill Clean Energy. Instead of adopting a priori selection of the best copula function based on a single copula, we consider single and mixture copulas to better illustrate the dependence between the pairs of variables under study. We also apply parametric as well as non-parametric tail dependencies measures. Empirical results show that both crude oil and gold are no more than weak safe-haven assets for clean energy indices. However, the superiority of crude oil to gold is evidenced in case of infinitely extreme market movements. This superiority is validated for WilderHill Clean Energy Index but endorsed to gold when examined against Global Clean Energy Index, in extreme market movements. (C) 2019 Elsevier Ltd. All rights reserved.

Place, publisher, year, edition, pages
PERGAMON-ELSEVIER SCIENCE LTD , 2019. Vol. 178, p. 544-553
Keywords [en]
Safe-haven; Gold; Crude oil; Clean energy stock indices; Tail-dependence; Copula
National Category
Energy Systems
Identifiers
URN: urn:nbn:se:liu:diva-158951DOI: 10.1016/j.energy.2019.04.155ISI: 000472686300044OAI: oai:DiVA.org:liu-158951DiVA, id: diva2:1338155
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation [W2016-0364:1]

Available from: 2019-07-19 Created: 2019-07-19 Last updated: 2019-07-19

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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