Lan tỏa rủi ro đuôi giữa năng lượng tái tạo và thị trường chứng khoán các nước ASEAN-6
DOI:
https://doi.org/10.24311/jabes/2025.36.01.02Keywords:
Renewable energy, Stock markets, Systemic risks, ASEAN-6Abstract
This study aims to explore tail risk spillovers between renewable energy and the ASEAN-6 stock markets (Vietnam, Thailand, the Philippines, Indonesia, Malaysia, and Singapore) from January 2, 2018, to November 26, 2024. To achieve this, the authors employ the ADCC-GARCH model to estimate the tail risk spillover value (ΔCoVaR) between market pairs based on the CoVaR and ΔCoVaR approaches. Additionally, the quantile-based spillover connectedness is used to evaluate tail risk spillovers across all markets under different risk scenarios (high, medium, and low risk). The results provide evidence that negative shocks in the renewable energy market lead to higher risks in the stock markets but do not act as a primary transmitter of tail risk spillovers. Specifically, the highest levels of tail risk spillover are observed during periods of extreme market conditions and high risk.
References
Abadie, A. (2002). Bootstrap tests for distributional treatment effects in instrumental variable models. Journal of the American Statistical Association, 97(457), 284-292.
Abdullah, M., Abakah, E. J. A., Ullah, G. W., Tiwari, A. K., & Khan, I. (2023). Tail risk contagion across electricity markets in crisis periods. Energy Economics, 127, 107100.
Adediran, I. A., Swaray, R., Orekoya, A. O., & Kabir, B. A. (2023). Hedging potentials of green investments against climate and oil market risks. Fulbright Review of Economics and Policy, 3(1), 49-73. https://doi.org/10.1108/FREP-04-2022-0030
Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106(7), 1705-1741.
Ahmad, S., Raihan, A., & Ridwan, M. (2024). Role of economy, technology, and renewable energy toward carbon neutrality in China. Journal of Economy and Technology, 2, 138-154.
Ahmad, W., & Rais, S. (2018). Time-varying spillover and the portfolio diversification implications of clean energy equity with commodities and financial assets. Emerging Markets Finance and Trade, 54(8), 1837-1855.
Ahmad, W., Sadorsky, P., & Sharma, A. (2018). Optimal hedge ratios for clean energy equities. Economic Modelling, 72, 278-295.
Ai, L., & Gao, L. S. (2023). Firm-level risk of climate change: Evidence from climate disasters. Global Finance Journal, 55, 100805.
Al Mamun, M., Sohag, K., Shahbaz, M., & Hammoudeh, S. (2018). Financial markets, innovations and cleaner energy production in OECD countries. Energy Economics, 72, 236-254.
Anton, S. G., & Nucu, A. E. A. (2020). The effect of financial development on renewable energy consumption. A panel data approach. Renewable Energy, 147, 330-338.
Benlagha, N., Karim, S., Naeem, M. A., Lucey, B. M., & Vigne, S. A. (2022). Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries. Energy Economics, 115, 106348.
Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), 537-572.
Chatziantoniou, I., Gabauer, D., & Stenfors, A. (2021). Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach. Economics Letters, 204, 109891.
Chevapatrakul, T., Xu, Z., & Yao, K. (2019). The impact of tail risk on stock market returns: The role of market sentiment. International Review of Economics & Finance, 59, 289-301.
Fahmy, H. (2022). The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus. Energy Economics, 106, 105738.
Gareiou, Z., Drimili, E., & Zervas, E. (2021). Public acceptance of renewable energy sources. In Low Carbon Energy Technologies in Sustainable Energy Systems (pp. 309-327). Academic Press.
Ghallabi, F., Yousaf, I., Ghorbel, A., & Li, Y. (2024). Time-varying risk spillovers between renewable energy and Islamic stock markets: Evidence from the Russia-Ukraine conflict. Pacific-Basin Finance Journal, 85, 102345.
Ghorbel, A., Fakhfekh, M., Jeribi, A., & Lahiani, A. (2022). Extreme dependence and risk spillover across G7 and China stock markets before and during the COVID-19 period. The Journal of Risk Finance, 23(2), 206-244.
Girardi, G., & Ergün, A. T. (2013). Systemic risk measurement: Multivariate GARCH estimation of CoVaR. Journal of Banking & Finance, 37(8), 3169-3180.
Jarboui, A., Mnif, E., Zghidi, N., & Akrout, Z. (2024). Reconceptualizing the interplay between geopolitical index, green financial assets and renewable energy markets: Evidence from the machine learning approach. Arab Gulf Journal of Scientific Research, 42(4), 2001-2027. https://doi.org/10.1108/AGJSR-09-2023-0458
Kang, S. H., Uddin, G. S., Troster, V., & Yoon, S. M. (2019). Directional spillover effects between ASEAN and world stock markets. Journal of Multinational Financial Management, 52-53, 100592.
Karkowska, R., & Urjasz, S. (2023). How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices. Journal of International Financial Markets, Institutions and Money, 85, 101768.
Kim, J., Jeong, D., Choi, D., & Park, E. (2020). Exploring public perceptions of renewable energy: Evidence from a word network model in social network services. Energy Strategy Reviews, 32, 100552.
Le, L. T., Yarovaya, L., & Nasir, M. A. (2021). Did COVID-19 change spillover patterns between Fintech and other asset classes?. Research in International Business and Finance, 58, 101441.
Lee, C.-C., & Lee, C.-C. (2022). How does green finance affect green total factor productivity? Evidence from China. Energy economics, 107, 105863.
Li, R., Wang, Q., & Li, L. (2023). Does renewable energy reduce per capita carbon emissions and per capita ecological footprint? New evidence from 130 countries. Energy Strategy Reviews, 49, 101121.
Li, X., Xu, C., & Meng, J. (2022). Dynamic nonlinear impacts of fossil energy on renewable energy stocks: A quantile perspective. Energy Reports, 8, 15511-15523.
Mukhtarov, S., Yüksel, S., & Dinçer, H. (2022). The impact of financial development on renewable energy consumption: Evidence from Turkey. Renewable Energy, 187, 169-176.
Ngô Thái Hưng, Huỳnh Thị Kim Ngân, Bùi Nguyễn Ngọc Hân, Đặng Phương Nhung, Ngô Thảo Nhi, & Trần Thị Cẩm Nhung. (2023). Phân tích biến động giá và rủi ro của thị trường chứng khoán ASEAN-6: Bằng chứng thực nghiệm trước và trong thời kỳ COVID-19. Tạp Chí Nghiên cứu Tài chính – Marketing, 73, 35-48. https://doi.org/10.52932/jfm.vi1.294
Ngô Thái Hưng, Nguyễn Khánh An, Lê Phạm Thị Phương Tiền, Trần Khánh Vy, Nguyễn Thị Thanh Trúc, & Lê Như Quỳnh. (2024). Lan tỏa rủi ro đuôi từ giá dầu thế giới đến thị trường chứng khoán các nước ASEAN-6. Tạp chí Nghiên cứu Kinh tế và Kinh doanh Châu Á, 35(4), 40-61.
Silva, F., Ferreira, A., & Cortez, M. C. (2024). The performance of green bond portfolios under climate uncertainty: A comparative analysis with conventional and black bond portfolios. Research in International Business and Finance, 70, 102354.
Wu, F. (2020). Stock market integration in East and Southeast Asia: The role of global factors. International Review of Financial Analysis, 67, 101416.
Zeqiraj, V., Sohag, K., & Soytas, U. (2020). Stock market development and low-carbon economy: The role of innovation and renewable energy. Energy Economics, 91, 104908.
Downloads
Published
Issue
Section
License
Copyright (c) 2025 JOURNAL OF ASIAN BUSINESS AND ECONOMIC STUDIES
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
