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- W4311752076 abstract "We examine the time-frequency co-movements and return and volatility spillovers between the rare earths and six major renewable energy stocks. We employ the wavelet analysis and the spillover index methodology from January 1, 2018 to May 15, 2020. We report that the COVID-19-triggered significant increase in co-movements and spillovers in returns and volatility between the rare earths and renewable energy returns and volatility. The rare earths act as net recipient of both return and volatility spillovers, while the clean energy stocks are net transmitters of return and volatility spillovers before and during the COVID-19 crisis. The solar and wind stocks are net transmitters/receivers of spillovers before/during the pandemic. The remaining markets shift from net spillover receivers to transmitters or vice versa; evidencing the effects of the pandemic. Our results show that cross-market hedge strategies may have their efficiency impaired during the periods of crises implying a necessity of portfolio rebalancing." @default.
- W4311752076 created "2022-12-28" @default.
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- W4311752076 date "2023-01-01" @default.
- W4311752076 modified "2023-10-09" @default.
- W4311752076 title "Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets" @default.
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- W4311752076 doi "https://doi.org/10.1016/j.resourpol.2022.103196" @default.
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