Climate risk and green investments : New evidence
Dutta, Anupam; Bouri, Elie; Rothovius, Timo; Salah Uddin, Gazi (2022-12-13)
Dutta, Anupam
Bouri, Elie
Rothovius, Timo
Salah Uddin, Gazi
Elsevier
13.12.2022
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2022121972699
https://urn.fi/URN:NBN:fi-fe2022121972699
Kuvaus
vertaisarvioitu
© 2022 The Author(s). Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
© 2022 The Author(s). Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
Tiivistelmä
The academic literature on green energy equity markets has increased extensively over the last decade due to growing concerns about climate change and the substantial flow of investments into alternative energy markets. This study contributes by investigating the effect of climate risk on the return and volatility of green energy assets. This is one of the first papers to assess such effects using the recently developed climate policy uncertainty index as an indicator of climate risk. In particular, we seek to answer the following research questions. Firstly, does rising climate risk lead to a significant increase in green energy asset returns? Secondly, does climate risk affect the volatility of green energy assets negatively? Employing various models, we provide statistical evidence in favour of our hypotheses. Rising climate risk seems to encourage investment in alternative energy, which leads to an upward demand for green energy, which in turn increases the prices of green energy investments and decreases their volatility levels. Our analysis further shows that when climate risk increases, the correlation between crude oil and green energy returns decreases. Furthermore, green energy assets are more effective than gold for hedging oil market risk, without ignoring the hedging ability of technology stock investment.
Kokoelmat
- Artikkelit [3030]