Time-varying price dynamics of clean and dirty energy portfolios

Abdollah Ah Man, Abdul Ghafoor, Imtiaz Sifat

    Research output: Contribution to journalArticlepeer-review

    4 Citations (SciVal)


    This paper investigates the dynamic relationships between four key instruments related to clean and dirty energy assets: WTI futures, United States Oil Fund (USO), EnergySelect Sector SPDR Fund (XLE), and iShares Global Clean Energy ETF (ICLN). Econometric tests confirm a long-term relationship between all variables, with causality tests showing that clean energy ETF has a causal influence on most instruments. However, the causal patterns are not definitively interpretable in an economic framework. Moreover, using wavelet-based tests on a 1-min interval transaction dataset, we further find convergence delay between WTI and XLE, and to a lesser extent, USO, but not ICLN. This suggests that clean energy has the potential to be a distinct asset class. We also identify the time scales at which arbitrage opportunities and liquidity movements occur: 32?256 and 4?8 min, respectively. These are new stylized facts about clean and dirty energy market assets and contribute to the limited literature available on high-frequency dynamics in the said markets.
    Original languageEnglish
    JournalJournal of Environmental Management
    Publication statusPublished (VoR) - 28 Mar 2023


    • Energy economics
    • Environmental economics
    • Clean energy
    • Dirty energy
    • Comovement
    • Sustainable investment


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