Do green energy markets catch cold when conventional energy markets sneeze?
研究了传统能源与绿色能源市场在日收益率和波动性上的相互关联，发现绿色能源对传统能源冲击高度敏感，尤其在极端情况下，对风险管理和投资策略有启示。
This study analyzes the interconnectedness between conventional and green energy markets in terms of daily returns and volatility through a time and frequency connectedness perspective. Comparing conventional energy indicators like the S&P 500 Energy (ENERGY), S&P Global Oil Index (GOI), and Dow Jones Conventional Electricity Index (CEI) to green energy benchmarks such as the S&P Global Clean Energy Index (GCEI) and the S&P/TSX Renewable Energy and Clean Technology Index (RECTI), the findings highlight the heightened sensitivity of daily returns and volatility to shocks, especially at extreme quantiles, in the time domain. On the frequency spectrum, the connectedness patterns of conventional and green energy indices' daily returns and volatility to shocks vary, exhibiting fluctuating roles between transmission and reception. The dynamic connectedness highlights the interconnectedness between conventional and green energy markets. These findings underscore the need for risk management strategies and resilient investment approaches in energy markets.