A time-varying Granger causality analysis between water stock and green stocks using novel approaches

This study examined the Granger-causality between global water stock and global green stocks (MSCI global environmental index, global alternative energy index, global pollution prevention index and global green building index) using a battery of innovative causality methods with available daily data...

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Bibliographic Details
Published in:Energy economics 2023-10, Vol.126, p.107010, Article 107010
Main Authors: Tiwari, Aviral Kumar, Adewuyi, Adeolu O., Adeleke, Musefiu Adebowale, Abakah, Emmanuel Joel Aikins
Format: Article
Language:English
Subjects:
Green stocks
Multi-scale Wavelet Causality approach
Sustainable economic development
Time-frequency approach
Water stock
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Summary:This study examined the Granger-causality between global water stock and global green stocks (MSCI global environmental index, global alternative energy index, global pollution prevention index and global green building index) using a battery of innovative causality methods with available daily data covering 23rd June 2009 to 23rd June 2022. Empirical results reveal many episodes of causality between global water stock and each of the global green stocks during the study period, including the post-global financial crisis and COVID-19 periods. The Granger-causality between the stocks was also noticed at different market periods and frequencies. Thus, the results confirmed the water-energy nexus and water-environment nexus. These results informed some policy recommendations to ensure sustainable economic development. •Study examined the Granger-causality between global water stock (GWS) and several global green stocks (GGSs).•Global green stocks include the MSGLPP, MSGLAE and MSGLGB.•The results confirmed the water-energy nexus and water-environment nexus.•Asymmetric relationship between the GWS and each of the GGSs was found at various times and frequencies.
ISSN:0140-9883
DOI:10.1016/j.eneco.2023.107010