The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs

Çelik, İsmail Erkan; Sak, Ahmet Furkan; HÖL, Arife ÖZDEMİR; Vergili, Gizem

doi:10.1016/j.najef.2022.101670

Cited by 17 publications

(2 citation statements)

References 57 publications

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“…This ETF offers exposure to the global wind power industry by tracking the performance of the ISE Clean Edge Global Wind Energy Index (GWE), which includes both pure play wind power companies and firms with more broad-based activities that keep some focus on wind power. Also used in recent literature ( Alexopoulos, 2018 , Miralles-Quirós and Miralles-Quirós, 2019 , Çelik et al, 2022 ), this ETF is rated AA by MSCI ESG fund ratings. 12 In addition, this ETF is particularly suitable for our analysis because it provides exposure to a particularly well-recognized segment of the green energy market.…”

Section: Datamentioning

confidence: 99%

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

Díaz

Esparcia

2022

Economic Analysis and Policy

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Section: Datamentioning

confidence: 99%

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

Díaz

Esparcia

2022

Economic Analysis and Policy

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“…ETFs have remained quite limited (e.g., Dutta et al, 2020;Çelik et al, 2022). In particular, the number of studies examining whether the EMH is valid for clean energy ETFs and whether these assets have dual long memory is very limited.…”

Section: Introductionmentioning

confidence: 99%

Long Memory in Clean Energy Exchange Traded Funds

Höl

2024

Politicka ekonomie

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This study aims to investigate whether clean energy exchange traded funds (ETFs) exhibit longterm memory properties and whether the efficient market hypothesis is valid for these assets. The results of the model established to test the dual long memory indicate the existence of long memory in both return and volatility of the ICLN, PBD, PBW series, while the long memory feature is found only in the volatility of the other variables. The results reveal that the selected clean energy ETFs do not exhibit weak efficient market characteristics and volatility has a predictable structure. These results mean that by using the past price movements of clean energy ETFs, future price movements can be predicted and thus above-normal returns can be obtained. In addition, it can be said that risks and uncertainties are effective on the price movements of clean energy ETFs. These results are important for portfolio managers, hedgers and individual and institutional investors aiming to direct their investments to the renewable energy market, as well as for policymakers.

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Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective

Ji,

Naeem,

Zhang

et al. 2024

Energy Economics

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The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs

Cited by 17 publications

References 57 publications

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis

Long Memory in Clean Energy Exchange Traded Funds

Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective

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