This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities markets—the crude oil and gold markets. The empirical results show a unidirectional connectedness from the implied volatility indices to the clean energy stocks. Our analysis further reveals similar volatility connectedness behaviors among companies in the same energy production subsector. However, there exists heterogeneous behavior between different energy production subsectors over time. Further, we identify pairwise directional connectedness clusters among related companies, indicating that there are few possibilities for portfolio diversification within the energy production subsectors. Finally, through an impulse–response analysis, we confirm that the expectation of future market volatility of the S&P 500 index and the gold price plays a leading role in volatility connectedness with clean energy stocks.
Fuentes, F., & Herrera, R. (2020). Dynamics of Connectedness in Clean Energy Stocks. Energies, 13(14), 3705. doi:10.3390/en13143705