Price bubbles and Co-bubbles in the green economy market

Marcin Potrykus; Imran Ramzan; Muhammad Mazhar; Elie Bouri

doi:10.1016/j.jenvman.2024.122678

Price bubbles and Co-bubbles in the green economy market

Abstract

In light of growing concerns about climate change and environmental issues, investor interest has surged in the new green economy market. However, the existing literature is limited regarding potential price bubble and co-bubble within this new domain. This study examines price bubble and co-bubble in the new green economy market, covering 31 indexes classified into three groups: the green economy market and its components, geographical regions, and sectors. Using daily data from August 31, 2005, to May 31, 2024, a test procedure is first applied to detect periods of price bubble in the various indexes, then logistic regressions are employed to examine price co-bubble behaviours. The results show evidence of price bubble in the green economy market, particularly in solar and wind indexes, with peaks during the COVID-19 pandemic and Russia-Ukraine conflict, whereas the water index is the least prone to price bubble. Regarding geographical region, the USA market exhibits a higher tendency for price bubble than the Asian or European markets. Several sectors are resistant to price bubble. The co-bubble analysis reveals a strong reliance of wind index on price bubble in the solar and water indexes. Price bubble in Asia significantly influences price bubble in Europe and the USA. These findings have implications for investment portfolio management and risk management strategies in the new green economy market.

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Category:

Articles

Type:

artykuły w czasopismach

Published in:

JOURNAL OF ENVIRONMENTAL MANAGEMENT no. 370,
ISSN: 0301-4797

Language:

English

Publication year:

2024

Bibliographic description:

Potrykus M., Ramzan I., Mazhar M., Bouri E.: Price bubbles and Co-bubbles in the green economy market// JOURNAL OF ENVIRONMENTAL MANAGEMENT -Vol. 370, (2024), s.122678-

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