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
Identification Number: 10.1016/j.dsef.2024.100012
Dates:
Date
Event
30 August 2024
Accepted
31 August 2024
Published Online
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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