Is there any link between the EU ETS and energy stocks markets?A multivariate garch approach
- Segura Querol, Sara
- Ferruz Agudo, Luis
- Gargallo Valero, Pilar
- Salvador Figueras, Manuel
- García Lizana, Antonio (coord.)
- Fernández Morales, Antonio (coord.)
- Podadera Rivera, Pablo (coord.)
Argitaletxea: Asociación Española de Economía Aplicada, ASEPELT
Argitalpen urtea: 2014
Orrialdeak: 523-537
Biltzarra: ASEPELT España. Reunión anual (28. 2014. Málaga)
Mota: Biltzar ekarpena
Laburpena
The objective of this paper is two-fold. First, we analyze whether the EUA price impulses the demand of clean energy stocks, which has important implications for policymakers as the objective of the EU ETS is to trigger the investment in clean energy. Secondly, given that the number of investors interested in energy markets is increasing day by day, we study whether EUA price has an impact of an energy portfolio integrated by clean energy stocks and oil&gas stocks. We also take into account several control variables. As we aim to analyze the simultaneous relationship among a set of variables and given the high frequency of the data we propose the use of the Vector Autoregressive Regression (VAR) with a GARCH structure to model the variance of the term error of the model.