Abstract:

This paper investigates the return and the risk transfer from oil to clean energy and technology stocks at multiple horizons. The return series of these markets are transferred into wavelets over periods that extends from less than a week to over six weeks. The inference on association is then obtained by estimating the parameters of a classical MGARCH-DCC model. The estimates of the model show weak return transmissions from oil that is only significant at the 3 to 6 weeks’ horizon. On the contrary of the return spillovers, the volatility transfer from oil to clean energy and technology equities is significant at almost all horizons. All transmissions are found to be stronger in longer investment horizons, and they are more pronounced in clean energy stocks. These results have important implications for clean energy and technology investors and those working in energy risk management.