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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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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 |
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Informa UK Limited
2024
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URI: | https://cronfa.swan.ac.uk/Record/cronfa67180 |
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v2 67180 2024-07-25 Quartile risk dependence between clean energy markets and the U.S. travel and leisure index 4ed8c020eae0c9bec4f5d9495d86d415 Mohammad Abedin Mohammad Abedin true false 2024-07-25 CBAE 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. Journal Article Current Issues in Tourism 0 1 25 Informa UK Limited 1368-3500 1747-7603 Clean energy markets; U.S. Travel and leisure index; cross-quantilogram; risk dependence; granger-causality in quantiles 9 8 2024 2024-08-09 10.1080/13683500.2024.2381716 COLLEGE NANME Management School COLLEGE CODE CBAE Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2024-08-29T16:14:37.2403929 2024-07-25T11:41:02.9762024 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Hongjun Zeng 1 Mohammad Abedin 2 Abdullahi D. Ahmed 3 67180__31090__5095875848ac41baa683bbac0f0b4588.pdf 67180.VoR.pdf 2024-08-12T17:13:01.5456517 Output 2943250 application/pdf Version of Record true © 2024 The Author(s). This is an Open Access article distributed under the terms of the Creative Commons Attribution License. true eng http://creativecommons.org/licenses/by/4.0/ |
title |
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index |
spellingShingle |
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index Mohammad Abedin |
title_short |
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index |
title_full |
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index |
title_fullStr |
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index |
title_full_unstemmed |
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index |
title_sort |
Quartile risk dependence between clean energy markets and the U.S. travel and leisure index |
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4ed8c020eae0c9bec4f5d9495d86d415 |
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4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin |
author |
Mohammad Abedin |
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Hongjun Zeng Mohammad Abedin Abdullahi D. Ahmed |
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Current Issues in Tourism |
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2024 |
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Swansea University |
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1368-3500 1747-7603 |
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10.1080/13683500.2024.2381716 |
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Informa UK Limited |
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Faculty of Humanities and Social Sciences |
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School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance |
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description |
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. |
published_date |
2024-08-09T16:14:35Z |
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11.0241995 |