Prior studies have extensively exhibited an interest in exploring the connectedness between dirty and clean energy stock prices alongside the drivers of such price connectedness, shedding light on hedging strategies for finance practitioners. Nevertheless, no empirical research has examined whether climate risks, the emerging indicator for investors to handle the divestment of dirty energy stocks, have affected the time-varying dirty–clean energy equity price nexus. This study fills this gap by innovatively identifying dynamic conditional correlations (DCCs) between dirty and clean energy stock prices. An ARDL/NARDL model is applied to assess whether the climate risks affect such correlations by controlling for business cycles, funding liquidity, USD values, and oil market sentiments. Overall, we detect an undeniable negative impact of climate risks on the positive dirty–clean energy price dynamic correlations. Additionally, the NARDL model results reveal that a rise in federal fund rates exerts higher effects on the dirty–clean energy stock price comovements. Our findings suggest the strengthened potential of hedging clean energy stocks against dirty energy equities in case of escalating climate risks and heightened fossil fuel price volatilities. Furthermore, substantial attention is required to account for monetary policies' asymmetric effects on clean energy investment.

中文翻译：

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气候风险是否会影响肮脏能源与清洁能源股票价格的动态相关性？


先前的研究广泛表现出对探索肮脏能源和清洁能源股票价格之间的关联性以及这种价格关联性的驱动因素的兴趣，为金融从业者揭示了对冲策略。然而，没有实证研究检验气候风险（投资者处理污染能源股票撤资的新兴指标）是否影响了随时间变化的污染能源与清洁能源股票价格关系。这项研究通过创新性地识别污染能源和清洁能源股票价格之间的动态条件相关性（DCC）来填补这一空白。 ARDL/NARDL 模型用于通过控制商业周期、资金流动性、美元价值和石油市场情绪来评估气候风险是否影响此类相关性。总体而言，我们发现气候风险对肮脏能源与清洁能源价格动态正相关性产生了不可否认的负面影响。此外，NARDL 模型结果显示，联邦基金利率的上升对肮脏能源与清洁能源股票价格联动的影响更大。我们的研究结果表明，在气候风险升级和化石燃料价格波动加剧的情况下，对冲清洁能源股票与肮脏能源股票的潜力增强。此外，需要高度重视货币政策对清洁能源投资的不对称影响。