Effect of Energy Fear on Clean Energy ETF Volatility: TVP-VAR Application

Arife Özdemir Höl; Nazlıgül Gülcan; Namıka Boyacıoğlu

Makale detayları

Effect of Energy Fear on Clean Energy ETF Volatility: TVP-VAR Application

Yazarlar:

Arife Özdemir Höl | Nazlıgül Gülcan | Namıka Boyacıoğlu

Yayıncı:

Bolu Abant Izzet Baysal University

Dergi:

Abant Sosyal Bilimler Dergisi Vol.23 Issue 1, pp.215-230

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286772

pISSN:

2757-9425

Anahtar kelimeler:

Özet:

 In recent times, interest in clean energy has increased all over the world, both within the scope of action plans to combat climate change caused by global warming and in order to contribute to their economies. In this paper, the effect of energy fear on clean energy Exchange Traded Fund ETF volatility is investigated in order to guide investors in the clean energy sector. In the research, the CBOE Crude Oil Volatility Index OVX and the CBOE Energy Sector ETF Volatility Index VXXLE represent energy fear and the iShares Global Clean Energy ETF ICLN, First Trust NASDAQ Clean Edge Green Energy ETF QCLN, Invesco WilderHill Clean Energy ETF PBW represents clean energy ETFs. The scope of the research consists of volatility series for the period 02.01.2015-11.02.2022. As a result of the study, in which the TVP-VAR method developed by Antonakakis et al. 2019a was used, VXXLE and PBW clean energy ETFs are net volatility transmitter; the ICLN, QCLN clean energy ETFs and OVX are net volatility receiver, the only fear index affecting clean energy ETFs is the VXXLE; OVX did not affect clean energy ETFs. In addition, it has been determined that the majority of the changes in the variance of the fear indices are explained by themselves and the fear indices have more power to affect each other, and the vast majority of the changes in the variance of clean energy ETFs are explained by other clean energy ETFs.

 In recent times, interest in clean energy has increased all over the world, both within the scope of action plans to combat climate change caused by global warming and in order to contribute to their economies. In this paper, the effect of energy fear on clean energy Exchange Traded Fund ETF volatility is investigated in order to guide investors in the clean energy sector. In the research, the CBOE Crude Oil Volatility Index OVX and the CBOE Energy Sector ETF Volatility Index VXXLE represent energy fear and the iShares Global Clean Energy ETF ICLN, First Trust NASDAQ Clean Edge Green Energy ETF QCLN, Invesco WilderHill Clean Energy ETF PBW represents clean energy ETFs. The scope of the research consists of volatility series for the period 02.01.2015-11.02.2022. As a result of the study, in which the TVP-VAR method developed by Antonakakis et al. 2019a was used, VXXLE and PBW clean energy ETFs are net volatility transmitter; the ICLN, QCLN clean energy ETFs and OVX are net volatility receiver, the only fear index affecting clean energy ETFs is the VXXLE; OVX did not affect clean energy ETFs. In addition, it has been determined that the majority of the changes in the variance of the fear indices are explained by themselves and the fear indices have more power to affect each other, and the vast majority of the changes in the variance of clean energy ETFs are explained by other clean energy ETFs.

 In recent times, interest in clean energy has increased all over the world, both within the scope of action plans to combat climate change caused by global warming and in order to contribute to their economies. In this paper, the effect of energy fear on clean energy Exchange Traded Fund ETF volatility is investigated in order to guide investors in the clean energy sector. In the research, the CBOE Crude Oil Volatility Index OVX and the CBOE Energy Sector ETF Volatility Index VXXLE represent energy fear and the iShares Global Clean Energy ETF ICLN, First Trust NASDAQ Clean Edge Green Energy ETF QCLN, Invesco WilderHill Clean Energy ETF PBW represents clean energy ETFs. The scope of the research consists of volatility series for the period 02.01.2015-11.02.2022. As a result of the study, in which the TVP-VAR method developed by Antonakakis et al. 2019a was used, VXXLE and PBW clean energy ETFs are net volatility transmitter; the ICLN, QCLN clean energy ETFs and OVX are net volatility receiver, the only fear index affecting clean energy ETFs is the VXXLE; OVX did not affect clean energy ETFs. In addition, it has been determined that the majority of the changes in the variance of the fear indices are explained by themselves and the fear indices have more power to affect each other, and the vast majority of the changes in the variance of clean energy ETFs are explained by other clean energy ETFs.

 Son dönemlerde hem küresel ısınmadan kaynaklı iklim değişikliğiyle mücadele eylem planları kapsamında hem de ekonomilerine katkıda bulunmak amacıyla tüm dünyada temiz enerjiye olan ilgi artmıştır. Temiz enerji sektöründe yer alan yatırımcılara yol gösterici olması açısından bu çalışmada enerji korkusunun temiz enerji yatırım fonları ETF volatilitesine etkisi araştırılmaktadır. Araştırmada enerji korkusunu temsilen CBOE Ham Petrol Volatilite Endeksi OVX ile CBOE Enerji Sektörü ETF Volatilite Endeksi VXXLE, temiz enerji ETFlerini temsilen de iShares Global Clean Energy ETF ICLN, First Trust NASDAQ Clean Edge Green Energy ETF QCLN, Invesco WilderHill Clean Energy ETF PBW dikkate alınmıştır. Araştırma kapsamı 02.01.2015-11.02.2022 dönemi volatilite serilerinden oluşmaktadır. Antonakakis vd. 2019a tarafından geliştirilen TVP-VAR yönteminin kullanıldığı çalışma sonucunda PBW temiz enerji ETF ve VXXLEnin volatiliteyi yaydığı, ICLN, QCLN temiz enerji ETFi ve OVXin ise volatiliteyi aldığı, temiz enerji ETFlerini tek etkileyen korku endeksinin VXXLE olduğu, OVXin ise temiz enerji ETFlerini etkilemediği sonucuna ulaşılmıştır. Ayrıca korku endekslerinin varyansında meydana gelen değişmelerin büyük çoğunluğunun kendileri tarafından açıklandığı ve korku endekslerinin birbirlerini etkileme güçlerinin daha fazla olduğu, temiz enerji ETFlerinin varyansında meydana gelen değişmelerin büyük çoğunluğunun diğer temiz enerji ETFleri tarafından açıklandığı belirlenmiştir.

Makale detayları

Effect of Energy Fear on Clean Energy ETF Volatility: TVP-VAR Application

Yazarlar:

Arife Özdemir Höl | Nazlıgül Gülcan | Namıka Boyacıoğlu

Yayıncı:

Bolu Abant Izzet Baysal University

Dergi:

Abant Sosyal Bilimler Dergisi Vol.23 Issue 1, pp.215-230

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286772

pISSN:

2757-9425

Clean Energy

ETF

Volatility

TVP-VAR Model

Temiz Enerji

ETF

Volatilite

TVP-VAR Model

Sayı

Makale detayları

Yazarlar: Arife Özdemir Höl | Nazlıgül Gülcan | Namıka Boyacıoğlu

Yayıncı: Bolu Abant Izzet Baysal University

Dergi: Abant Sosyal Bilimler Dergisi Vol.23 Issue 1, pp.215-230

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001286772

pISSN: 2757-9425

Sayı

Yazarlar:

Arife Özdemir Höl | Nazlıgül Gülcan | Namıka Boyacıoğlu

Yayıncı:

Bolu Abant Izzet Baysal University

Dergi:

Abant Sosyal Bilimler Dergisi Vol.23 Issue 1, pp.215-230

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286772

pISSN:

2757-9425