Date: 04 June 2024, Tuesday
Time: 09.00
Place: MA -330
“Interaction Between Clean and Brown Energy ETFs Under Climate Risk and Climate Policy Uncertainty”
by
Zeynep Sueda Özer
(Advisor : Assoc. Prof. Ahmet Şensoy)
Abstract
How influential are climate change risks on asset pricing? The thesis examines this problem with respect to the interaction mechanism between clean and brown energy exchange traded funds (ETFs). I choose energy ETFs for their broader role in the transition phase as investment flows into clean energy ETFs with rising climate change risks. I analyze the changing dynamics of interconnectedness between clean and carbon-energy assets as they differ in transmitting and receiving shocks between normal versus crisis periods in the backdrop of climate risk and climate policy uncertainty. Using daily data of clean and brown energy instruments with employing the TVP-VAR framework, I show that asymmetric connectedness between two classes of instruments increase during crisis periods. Specific clean and brown instruments are either net givers or receivers, and the climate risk and policy uncertainty variables are net receivers throughout the study periods. The results bring newer insights into interconnectivity, which have significant implications for market participants.