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Quartile risk dependence between clean energy markets and the U.S. travel and leisure index
Current Issues in Tourism, Pages: 1 - 25
Swansea University Author: Mohammad Abedin
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© 2024 The Author(s). This is an Open Access article distributed under the terms of the Creative Commons Attribution License.
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DOI (Published version): 10.1080/13683500.2024.2381716
Abstract
We employed the Cross-quantilogram method for the first time to assess the cross-quantile risk relationship among the clean energy market and the Dow Jones U.S. Travel & Leisure Index during the period from 2014 to 2023. This investigation aimed to explore the asymmetric nature of the risk-depen...
Published in: | Current Issues in Tourism |
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ISSN: | 1368-3500 1747-7603 |
Published: |
Informa UK Limited
2024
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Online Access: |
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URI: | https://cronfa.swan.ac.uk/Record/cronfa67180 |
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Abstract: |
We employed the Cross-quantilogram method for the first time to assess the cross-quantile risk relationship among the clean energy market and the Dow Jones U.S. Travel & Leisure Index during the period from 2014 to 2023. This investigation aimed to explore the asymmetric nature of the risk-dependence structure. Our findings reveal that, under market stability conditions, the U.S. Travel & Leisure index exhibited the highest correlation with all clean energy stocks. However, the risk correlation with the NASDAQ OMX Geothermal, NASDAQ OMX Solar, and NASDAQ OMX Wind Indices significantly decreased during longer investment horizons and extreme quantiles. Notably, in the extreme tail, the correlation between specific clean energy markets and the U.S. Travel & Leisure index displayed heterogeneity. Our results have new practical implications for policymakers and investors who need to capture the risk connection among clean energy indices and the U.S. Travel and Leisure sector. |
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Keywords: |
Clean energy markets; U.S. Travel and leisure index; cross-quantilogram; risk dependence; granger-causality in quantiles |
College: |
Faculty of Humanities and Social Sciences |
Funders: |
Swansea University |
Start Page: |
1 |
End Page: |
25 |