Quartile risk dependence between clean energy markets and the U.S. travel and leisure index

Bibliographic Data

ID21698653
AuthorsHongjun Zeng (0000-0002-5437-2710, RMIT University), Mohammad Zoynul Abedin (0000-0002-4688-0619, Swansea University, corresponding author), Abdullahi D Ahmed (0000-0003-4472-0205, RMIT University)
Year2025
Volume28
Issue17
Pages2846-2870
Publication date2025-09-02
Open AccessYes
TypeARTICLE
VenueCurrent Issues in Tourism (JOURNAL)
Journal identifiersISSN: 1368-3500 • E-ISSN: 1747-7603
PublisherInforma UK Limited (PUBLISHER • GB)
DOI10.1080/13683500.2024.2381716
OpenAlexW4401484762
LanguageEN
Citations received2
References cited38

We employed the Cross-quantilogram method for the first time to assess the cross-quantile risk relationship among the clean energy market and the Dow Jones U.S. Travel & Leisure Index during the period from 2014 to 2023. This investigation aimed to explore the asymmetric nature of the risk-dependence structure. Our findings reveal that, under market stability conditions, the U.S. Travel & Leisure index exhibited the highest correlation with all clean energy stocks. However, the risk correlation with the NASDAQ OMX Geothermal, NASDAQ OMX Solar, and NASDAQ OMX Wind Indices significantly decreased during longer investment horizons and extreme quantiles. Notably, in the extreme tail, the correlation between specific clean energy markets and the U.S. Travel & Leisure index displayed heterogeneity. Our results have new practical implications for policymakers and investors who need to capture the risk connection among clean energy indices and the U.S. Travel and Leisure sector

Business · Economics · Geography · Quartile · Statistics · Tourism · Computer Science · Energy, Environment, and Transportation Policies · Energy, Environment, Economic Growth · Market Dynamics and Volatility · Mathematics

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