Carbon exchange-traded funds market and economic policy uncertainty
Naysary, Babak and Shrestha, Keshab (2024) Carbon exchange-traded funds market and economic policy uncertainty. Development and Sustainability in Economics and Finance, 2-4. p. 100012. ISSN 2950-5240
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Abstract
This study empirically analyses the relationship between economic policy uncertainty (EPU) and three carbon exchange-traded funds (ETFs) using wavelet coherence analysis as well as dynamic conditional correlation (DCC) from a multivariate GARCH model. The analysis techniques employed allow us to analyze the nature of the relationship which may depend on time and frequency. Our findings indicate that there exists a significant negative correlation between EPU and the ETFs for almost all times and frequencies. However, for some times and frequencies, the identified negative relationship is not significant. Interestingly, we also find that for some times and frequencies, EPU leads the ETFs and for some other times and frequencies ETFs lead the EPU.
| Item Type: | Article | ||||||
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| Identification Number: | https://doi.org/10.1016/j.dsef.2024.100012 | ||||||
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| Uncontrolled Keywords: | Carbon ETF, DCC-GARCH, Wavelet coherence, EPU | ||||||
| Subjects: | CAH17 - business and management > CAH17-01 - business and management > CAH17-01-02 - business studies | ||||||
| Divisions: | Faculty of Business, Law and Social Sciences > College of Business, Digital Transformation & Entrepreneurship | ||||||
| Depositing User: | Gemma Tonks | ||||||
| Date Deposited: | 16 Sep 2024 11:56 | ||||||
| Last Modified: | 16 Sep 2024 11:56 | ||||||
| URI: | https://www.open-access.bcu.ac.uk/id/eprint/15842 |
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