The impact of economic uncertainty caused by COVID-19 on renewable energy stocks

• Published in: Empirical economics Vol. 62; no. 4; pp. 1495 - 1515
• Main Authors: Liu, Tiantian, Nakajima, Tadahiro, Hamori, Shigeyuki
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.04.2022; Springer Nature B.V
• Subjects: Coronaviruses; COVID-19; Econometrics; Economic crisis; Economic theory; Economic Theory/Quantitative Economics/Mathematical Methods; Economics; Economics and Finance; Finance; Insurance; Management; News; Pandemics; Renewable energy; Renewable resources; Spillover effect; Statistics for Business; Uncertainty; COVID-19; Renewable energy stock; Uncertainty; Spillover effects
• ISSN: 0377-7332; 1435-8921
• DOI: 10.1007/s00181-021-02087-3

By employing time–frequency-domain frameworks, this study analyzes the spillover effects of news-based economic uncertainty caused by the pandemic on three renewable energy stock indices in the USA, Europe, and the world. The empirical results reveal that the total spillover from economic uncertainty to the three renewable energy stock returns was concentrated at a high frequency, whereas those to volatilities appeared at low frequencies. Utilizing a rolling-window method, we observed that the impact of uncertainty caused by COVID-19 on three renewable energy stock returns and volatilities is more significant than that resulting from the global financial crisis (GFC). During COVID-19, the majority of the spillover effects from economic uncertainty to returns and volatilities of the three indices focused on the long term.