Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic

Mohamad, Azhar and Fromentin, Vincent (2023) Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic. Energy Economics, 126. pp. 1-19. ISSN 0140-9883

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Abstract

This paper examines herd behaviour, causality dynamics and dynamic relationships among energy commodities, namely WTI, Brent, gasoline and natural gas, and ethical energy investment indices (S&P Global clean energy, WilderHill clean energy and NASDAQ clean edge green energy) in different phases of the COVID-19 pandemic. Our dataset spans four and a half years of daily data, from August 2018 to February 2023. Unintentional herding behaviour is observed in about 20% between energy commodities and between 10 and 15% between ethical investment indices, and is spread across different phases of the pandemic. WTI is the largest source of timevarying Granger causality to other energy commodities and ethical investment indices at the beginning of the pandemic and remains so after the pandemic. Finally, our wavelet coherence analysis shows that natural gas is decoupled from crude oil and gasoline markets and is not affected by the pandemic.

Item Type:	Article (Journal)
Uncontrolled Keywords:	Crude oil; Energy commodity; Ethical investment; Herding; Time-varying Granger causality (TVGC); Wavelet coherence; Markov Chain Monte Carlo (MCMC).
Subjects:	H Social Sciences > HG Finance > HG4501 Stocks, investment, speculation
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences Kulliyyah of Economics and Management Sciences > Department of Finance
Depositing User:	Dr Azhar Mohamad
Date Deposited:	21 Sep 2023 14:11
Last Modified:	21 Sep 2023 14:26
URI:	http://irep.iium.edu.my/id/eprint/106906

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