Effect of Energy Fear on Clean Energy ETF Volatility: TVP-VAR Application

Öz

In recent times, interest in clean energy has increased all over the world, both within the scope of action plans to combat climate change caused by global warming and in order to contribute to their economies. In this paper, the effect of energy fear on clean energy Exchange Traded Fund (ETF) volatility is investigated in order to guide investors in the clean energy sector. In the research, the CBOE Crude Oil Volatility Index (OVX) and the CBOE Energy Sector ETF Volatility Index (VXXLE) represent energy fear and the iShares Global Clean Energy ETF (ICLN), First Trust NASDAQ Clean Edge Green Energy ETF (QCLN), Invesco WilderHill Clean Energy ETF (PBW) represents clean energy ETFs. The scope of the research consists of volatility series for the period 02.01.2015-11.02.2022. As a result of the study, in which the TVP-VAR method developed by Antonakakis et al. (2019a) was used, VXXLE and PBW clean energy ETFs are net volatility transmitter; the ICLN, QCLN clean energy ETFs and OVX are net volatility receiver, the only fear index affecting clean energy ETFs is the VXXLE; OVX did not affect clean energy ETFs. In addition, it has been determined that the majority of the changes in the variance of the fear indices are explained by themselves and the fear indices have more power to affect each other, and the vast majority of the changes in the variance of clean energy ETFs are explained by other clean energy ETFs.

Anahtar Kelimeler

• Clean Energy
• ETF
• Volatility
• TVP-VAR Model

Enerji Korkusunun Temiz Enerji ETF Volatilitesi Üzerine Etkisi: TVP-VAR Uygulaması

Öz

Son dönemlerde hem küresel ısınmadan kaynaklı iklim değişikliğiyle mücadele eylem planları kapsamında hem de ekonomilerine katkıda bulunmak amacıyla tüm dünyada temiz enerjiye olan ilgi artmıştır. Temiz enerji sektöründe yer alan yatırımcılara yol gösterici olması açısından bu çalışmada enerji korkusunun temiz enerji yatırım fonları (ETF) volatilitesine etkisi araştırılmaktadır. Araştırmada enerji korkusunu temsilen CBOE Ham Petrol Volatilite Endeksi (OVX) ile CBOE Enerji Sektörü ETF Volatilite Endeksi (VXXLE), temiz enerji ETF’lerini temsilen de iShares Global Clean Energy ETF (ICLN), First Trust NASDAQ Clean Edge Green Energy ETF (QCLN), Invesco WilderHill Clean Energy ETF (PBW) dikkate alınmıştır. Araştırma kapsamı 02.01.2015-11.02.2022 dönemi volatilite serilerinden oluşmaktadır. Antonakakis vd. (2019a) tarafından geliştirilen TVP-VAR yönteminin kullanıldığı çalışma sonucunda PBW temiz enerji ETF ve VXXLE’nin volatiliteyi yaydığı, ICLN, QCLN temiz enerji ETF’i ve OVX’in ise volatiliteyi aldığı, temiz enerji ETF’lerini tek etkileyen korku endeksinin VXXLE olduğu, OVX’in ise temiz enerji ETF’lerini etkilemediği sonucuna ulaşılmıştır. Ayrıca korku endekslerinin varyansında meydana gelen değişmelerin büyük çoğunluğunun kendileri tarafından açıklandığı ve korku endekslerinin birbirlerini etkileme güçlerinin daha fazla olduğu, temiz enerji ETF’lerinin varyansında meydana gelen değişmelerin büyük çoğunluğunun diğer temiz enerji ETF’leri tarafından açıklandığı belirlenmiştir.

Anahtar Kelimeler

• Temiz Enerji
• ETF
• Volatilite
• TVP-VAR Model

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