Novel approaches to model decomposed oil shocks, geopolitical risk, clean and fossil fuel stocks

Creative Commons License

Dam M. M., Altıntaş H., Tiwari A. K.

Borsa Istanbul Review, cilt.25, sa.3, ss.468-496, 2025 (SSCI, Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 25 Sayı: 3
  • Basım Tarihi: 2025
  • Doi Numarası: 10.1016/j.bir.2025.02.002
  • Dergi Adı: Borsa Istanbul Review
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, EconLit, Directory of Open Access Journals
  • Sayfa Sayıları: ss.468-496
  • Anahtar Kelimeler: Clean energy stocks, Decomposed oil shocks, Dynamic connectedness, Fossil fuel stocks, Geopolitical risk, Wavelet quantile correlation
  • Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
  • Erciyes Üniversitesi Adresli: Evet

Özet

This study examines how oil supply, demand, and risk shocks, along with geopolitical risks, impact the performance of clean and fossil fuel stocks. Using daily data from March 2014 to January 2022, advanced methods like wavelet quantile correlation (WQC), cross-quantilogram (QC), and nonparametric causality-in-quantile (NPCQ) are applied. The results reveal significant volatility linkages between clean and fossil fuel stocks, with oil shocks and geopolitical risks influencing financial markets. Demand and risk shocks act as transmitters, while supply and geopolitical risks are receivers of spillovers. Clean energy stocks are net transmitters of spillovers, while fossil fuel stocks show mixed profiles. Fossil fuel stocks act as safe havens in the medium term, while clean energy stocks exhibit this in the long term. Geopolitical risks have little effect on clean energy stocks, indicating their resilience. The study highlights the importance of real-time monitoring for managing market fluctuations.