Dependence Structure between clean energy market and stock markets: Evidence from Copula Approach

Abstract

This study examines the dependence structure between the clean energy market and the stock markets of Pakistan, United States, China, and Norway. It employes daily data from 2017 to 2022 and used copula model for the purpose of analysis. The findings of the study show that t-copula provides the best fit for all the market pairs. This shows that the presence of tail dependence between the bivariate pairs of clean energy market and the stocks. However, the study further highlights that the dependence is stronger in the developed markets and relatively weaker in Pakistan. The study highlights implications for investors and policy makers.