Ah Mand Abdollah, Ghafoor Abdul, Sifat Imtiaz
University of the West of England, UK.
Birmingham City University, UK.
J Environ Manage. 2023 Jul 1;337:117687. doi: 10.1016/j.jenvman.2023.117687. Epub 2023 Mar 28.
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.
西德克萨斯中质原油（WTI）期货、美国石油基金（USO）、能源精选行业标准普尔存托凭证基金（XLE）和iShares全球清洁能源交易型开放式指数基金（ICLN）。计量经济学检验证实了所有变量之间的长期关系，因果关系检验表明清洁能源交易型开放式指数基金对大多数工具具有因果影响。然而，因果模式在经济框架中无法得到明确解释。此外，通过对1分钟间隔交易数据集进行基于小波的检验，我们进一步发现WTI和XLE之间存在收敛延迟，USO在较小程度上也存在收敛延迟，但ICLN不存在。这表明清洁能源有可能成为一种独特的资产类别。我们还确定了套利机会和流动性变动出现的时间尺度：分别为32 - 256分钟和四到八分钟。这些是关于清洁和肮脏能源市场资产的新的典型事实，为上述市场高频动态方面有限的文献做出了贡献。
