Commodity market risks and green investments: Evidence from India

Dutta, Anupam; Bouri, Elie; Dutta, Probal; Saeed, Tareq

doi:10.1016/j.jclepro.2021.128523

Cited by 50 publications

(23 citation statements)

References 47 publications

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“…Overall 5 , the above-mentioned results improve our understanding of the factors affecting market integration in the universe of green, clean, dirty energy investments, technology stocks, and conventional stock indices. This adds to the existing literature such as Dutta et al (2021) and Saeed et al (2020b), which tends to study return spillovers without considering the time evolution of integration and the financial and economic factors that can affect it.…”

Section: Drivers Of Return Equicorrelationmentioning

confidence: 99%

“…The above discussion motives us to consider the universe of clean and dirty energy investments, and conventional stock indices as well as technology stocks. A look into the academic literature reveals that previous studies have focused on the effect of the COVID-19 outbreak on economic activities (König and Winkler, 2020;Ozili and Arun, 2020), equity markets in the United States and Europe (Abuzayed et al, 2021;Bouri et al, 2021), and the price dynamics of crude oil and clean energy stock indices (Saeed et al, 2020a;Saeed et al, 2020b;Dutta et al, 2021). Although green bonds and clean energy investments have attracted a lot of attention from economic actors over the past 10-15 years, few studies have considered the effects of the pandemic on these investments.…”

Section: Introductionmentioning

confidence: 99%

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Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices

Liu¹,

Bouri²,

Jalkh³

2021

Front. Environ. Sci.

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We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.

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Section: Drivers Of Return Equicorrelationmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices

Liu¹,

Bouri²,

Jalkh³

2021

Front. Environ. Sci.

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“…, 2018) and spillovers between green markets and other financial markets (Dutta et al. , 2021a, b; Saeed et al. , 2020; Naeem et al.…”

Section: Introductionmentioning

confidence: 99%

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Karim

Naeem

2022

IJMF

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PurposeThis study aims to examine the connectedness among green, Islamic and conventional financial markets from December 2008 to May 2021. Moreover, the impact of global factors on the connectedness of given financial markets is also observed.Design/methodology/approachThis study first employed the time-varying parameter vector autoregressions (TVP-VAR) technique to explore the connectedness of markets. Second, This study utilized the wavelet coherence analysis to test the time-frequency impact of global factors in terms of implied volatilities of stock, oil, gold, currency and bond on the connectedness across financial markets.FindingsThis study finds Islamic stocks, sustainability index and S&P500 composite index are the net transmitters, whereas Sukuk, commodity index, bond market, clean energy and green bonds are the net recipient of spillovers. Time-varying features of green, Islamic and conventional financial markets are evident in system-wide connectedness. This study further evidenced that global factors drive the connectedness of financial markets, particularly during stressful times.Practical implicationsThe findings of this study furnish significant implications for policymakers, regulatory authorities, investors, financial market participants and portfolio managers in terms of carefully assessing the unique characteristics offered by each financial market in terms of risk mitigation and diversifying the portfolios.Originality/valueUsing a portfolio of green, Islamic and conventional financial markets, the uniqueness of this study lies in the examination of the connectedness of these markets by deploying the TVP-VAR technique. In addition, wavelet analysis offers a significant contribution in terms of global factors driving the connectedness of green, Islamic and conventional markets.

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Section: Resultsmentioning

confidence: 99%

“…We argue that firms' inefficiency in energy usage leads to negative valuation in stock markets on account of higher volatility of stock returns. The prices of these stocks are highly volatile because of the high variation in the supply and prices of energy sources (Dutta et al, 2021). To examine this, we regress the energy intensity of firms on the standard deviation of daily stock returns [7] and the standard deviation of ROA.…”

Section: Energy Intensity and Stock Return Volatilitymentioning

confidence: 99%

Do stock markets value green operations? Evidence from India

Jadiyappa

Krishnankutty

2022

IJMF

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PurposeThis study aims to examine the impact of green operation (measured using the energy intensity of its operations) on the value of corporate firms in stock markets. The authors also examine the channel of such an impact and its implication on a firm's financing choices.Design/methodology/approachThe authors conduct various univariate and multivariate regression analyses on a panel of all non-financial Indian firms listed on the National Stock Exchange from 2010 through 2018. The authors use the sensitivity of investments to the cash flows model to test the financial constraints hypothesis.FindingsThe authors’ analysis shows a positive relationship between energy efficiency (firms that consume a lesser amount of energy per unit of sale) and the value of firms in the stock market. The authors empirically attribute this greater valuation to the lesser volatility of stock returns, measured by the standard deviation of daily stock returns. Finally, the authors observe that investments in energy-efficient firms are less sensitive to their internal cash flows.Practical implicationsThe results suggest that less green firms face greater constraints in accessing finance from external sources and, therefore, depend more on internal than external capital to finance their investments. Hence, managers of such firms can ease their financing pressures by making their operations greener.Originality/valueIn this study, the authors examine the implications of green operations on the financing choices of firms. This aspect of going green is important because managers will have enough incentives to invest in green technologies as that would increase their access to external finance and, hence, decrease their financial constraints.

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Commodity market risks and green investments: Evidence from India

Cited by 50 publications

References 47 publications

Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices

Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices

Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?

Do stock markets value green operations? Evidence from India

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