Please use this identifier to cite or link to this item: https://repositorio.usj.es/handle/123456789/619

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dc.contributor.authorGargallo Valero, Pilar-
dc.contributor.authorLample Gracia, Luis Javier-
dc.contributor.authorMiguel, Jesús A-
dc.contributor.authorSalvador, Manuel Juan-
dc.date.accessioned2021-10-07T10:10:31Z-
dc.date.available2021-10-07T10:10:31Z-
dc.date.issued2021-07-28-
dc.identifier.citationGargallo, P.; Lample, L.; Miguel, J.A.; Salvador, M. Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach. Mathematics 2021, 9, 1787. https://doi.org/10.3390/math9151787es_ES
dc.identifier.issn22277390es_ES
dc.identifier.urihttps://repositorio.usj.es/handle/123456789/619-
dc.description.abstractThis paper analyzes the co-movements of prices of fossil fuels, energy stock markets and EU allowances. This analysis is conducted in order to identify the spillover effect of volatility and correlation among these financial markets, and to provide a scientific basis that shows the interest of incorporating sustainable assets in the design of minimum risk strategies of investment. To achieve this goal, we have used a Vector Autoregressive-Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (VAR-DCC-GARCH) model that also incorporates a stock index of industrial companies as a leading indicator of the level of economic activity. In addition, the paper conducts an impulse response analysis to determine how unexpected shocks to prices are propagated along time, and, in particular, how they affect prices of the others, both in mean, variance and correlation. Therefore, the results of this one- and two-dimensional analysis allow for the study of short and long run dynamics of the relationship among those prices, thus, providing greater meaning and information for investors, which has implications for building their portfolios. The analyzed period was from January 2010 to February 2021, so that the data include half of phase II, full phase III and the onset of phase IV of the EU ETS, as well as the COVID-19 outbreak in the European context. We also analyzed whether the EUA price impulses the demand of clean energy stocks, which has important implications for the objective of triggering the investment in clean energy. Our results show the transmission mechanism of all of those prices, which are relevant not only for investors but also for policymakers to construct an early-warning system, revealing the most important transmission channels. Moreover, from an investment viewpoint, we observe a decline in dirty energies and a rise in the clean energy market, which might be an indication of the progress towards the energy transition to renewables sources within a circular economy perspective. Therefore, this shows that the EU ETS is achieving its goals, and that clean energy companies, aligned with their role towards socially responsible initiatives, are also gaining acceptance in terms of investments, which would be beneficial for the environment.es_ES
dc.format.extent37 p.es_ES
dc.format.mimetypeapplication/pdfes_ES
dc.language.isoenges_ES
dc.publisherMDPI AGes_ES
dc.relationLuis Lample was supported by DGA Reference Group S11_20R and the rest of authors were supported by DGA Reference Group S41_17R.es_ES
dc.rightsAtribución 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/*
dc.subjectClimate changees_ES
dc.subjectEU ETSes_ES
dc.subjectEnergy marketses_ES
dc.subjectVAR-DCC-GARCHes_ES
dc.subjectImpulse response analysises_ES
dc.subjectMinimum risk portfolioes_ES
dc.titleCo-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approaches_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.identifier.doi10.3390/math9151787es_ES
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesses_ES
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