Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China

We examine the dynamic relationship between clean energy stock markets and energy commodity markets in China from a time-frequency perspective. The daily dataset spans from March 27th, 2018, to July 29th, 2022, and is utilized in this study. We find that the clean stock markets are the main contributors and recipients in this dynamic system in the short run, while the solid net contributor role of commodities is detected in the long run. In addition, in most cases, short-term spillovers can dominate the long-run ones. However, during the COVID-19 pandemic, long-term spillovers can dominate short-run spillovers. In particular, it can be seen that in the short run, energy commodities can be easily influenced by clean energy stocks. In the long run, traditional energy assets are less affected. Finally, we show that COVID-19 can increase the hedging effectiveness of the portfolio design. We conclude with policy implications for energy and resources policymakers.

Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China.

We aim to investigate the static and dynamic time-frequency connectedness between energy and nonenergy commodity markets in China during COVID-19 based on Baruník and Krehlík (2018) method. First, in this paper, we find that the short-term connectedness dominates the long-term one, and the total connectedness increases after the COVID-19 outbreak. Second, the energy commodity is the receiver and is influenced much by the spillovers of non-energy commodity markets (e.g. chemical commodities and non-ferrous metals) in the short run. At the same time, the impact is less at the long-term investment horizons. In addition, chemical commodities and soft commodities are the primary transmitters in this system in the short run. In contrast, chemical commodities and coal steel iron commodities are the main long-run primary transmitters. Third, the spillover role varies with the time-frequency domain during COVID-19. To be more specific, the energy commodity shows a net receiver role in the short and long run before the COVID-19 pandemic, but after it, the role of the net transmitter can be seen in the long run with ease. Finally, we show that COVID can reduce the hedging effectiveness at different investment horizons. The mineral policymakers should note our dynamic empirical results between energy and nonenergy commodity.