Memon Bilal Ahmed, Aslam Faheem, Asadova Shakhnoza, Ferreira Paulo
School of Business and Economics, Westminster International University in Tashkent, Uzbekistan.
Department of Management Sciences, COMSATS University Islamabad, Pakistan.
Heliyon. 2023 Nov 22;9(12):e22694. doi: 10.1016/j.heliyon.2023.e22694. eCollection 2023 Dec.
The literature lacks thorough and adequate evidence of the efficiency and herding behavior of clean and renewable energy markets. Therefore, the key objective of this paper is to explore the multifractality and efficiency of six clean energy markets by applying a robust method of Multifractal detrended fluctuation analysis (MFDFA) on daily data over a lengthy period. In addition, to examine the inner dynamics of clean energy markets around the global pandemic (COVID19), the data are further divided into two sub-periods of before and during COVID19. Our sampled clean energy markets exhibit multifractal behavior with a significant impact on the efficiency and intensified presence of multifractality during the COVID19 period. Overall, TXCT and BSEGRNX were the most efficient clean energy markets, but the ranking of TXCT deteriorated significantly in the sub-periods. The presence of multifractality and herding behavior symmetry intensified during the crisis period, which gives a potential for advancing portfolio management techniques. Moreover, our study provides practical implications and new insights for various market participants for better management and understanding of risks.
文献中缺乏关于清洁和可再生能源市场效率及羊群行为的全面且充分的证据。因此,本文的关键目标是通过对一段较长时期的日数据应用稳健的多重分形去趋势波动分析(MFDFA)方法,来探究六个清洁能源市场的多重分形性和效率。此外,为了考察全球大流行(新冠疫情)期间清洁能源市场的内部动态,数据进一步被划分为新冠疫情之前和期间两个子时期。我们抽样的清洁能源市场呈现出多重分形行为,对效率有显著影响,且在新冠疫情期间多重分形性的存在更为强化。总体而言,德克萨斯清洁能源交易市场(TXCT)和巴西证券交易所绿色新能源指数(BSEGRNX)是效率最高的清洁能源市场,但在子时期内TXCT的排名显著恶化。危机期间多重分形性和羊群行为对称性的存在有所增强,这为推进投资组合管理技术提供了潜力。此外,我们的研究为各类市场参与者更好地管理和理解风险提供了实际意义和新的见解。