Focusing on clean energy stocks and oil prices, we find that connectedness between these assets not only exists in volatility, but also at higher-order moments, such as skewness and kurtosis, which have been largely under studied in the existing literature. Estimating the connectedness using intra-day data, our initial static analyses suggest that the connectedness between the clean energy and oil markets is heterogenous across the moments and the shock transmitter/recipient role played by each market varies across moments. Further dynamic analyses indicate that higher-order moment connectedness is also time varying and appears to be stronger during uncertain market conditions. In addition, we identify day-of-the-week patterns of higher-order moment connectedness during high uncertainty periods, but these patterns appear to be reversed during low uncertainty periods. The employment of Markov switching regression models further corroborates the market uncertainties as the determinants of higher-order moment connectedness. As an important extension, we provide empirical evidence that including clean energy stocks in the investment portfolio can effectively hedge oil price risks and considering higher-order moments in constructing investment strategies adds extra value to investors. Our utility-based hedging strategy and minimum connectedness portfolio can offer higher utility gains and better risk-return trade-offs to those investors who are not infinitely risk-averse.

中文翻译：

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清洁能源与油价之间较高时刻的动态联系


专注于清洁能源股票和油价，我们发现这些资产之间的关联性不仅存在于波动性中，还存在于高阶时刻，例如偏度和峰度，这在现有文献中基本上没有得到充分研究。使用日内数据估计关联性，我们的初步静态分析表明，清洁能源和石油市场之间的关联性在各个时刻是异质的，并且每个市场所扮演的冲击传递者/接收者角色在不同时刻不同。进一步的动态分析表明，高阶矩连通性也是随时间变化的，并且在不确定的市场条件下似乎更强。此外，我们在高不确定性时期确定了高阶矩关联性的星期几模式，但在低不确定性时期，这些模式似乎发生了逆转。马尔可夫切换回归模型的采用进一步证实了市场不确定性是高阶矩连通性的决定因素。作为一个重要的扩展，我们提供了实证证据，证明将清洁能源股票纳入投资组合可以有效对冲油价风险，并且在构建投资策略时考虑更高阶的时刻可以为投资者增加额外的价值。我们基于效用的对冲策略和最低连通性投资组合可以为那些并非无限厌恶风险的投资者提供更高的效用收益和更好的风险回报权衡。