Impacts of COVID-19 on dynamic return and volatility spillovers between rare earth metals and renewable energy stock markets

Resources Policy. 2023. Vol. 80. Article 103196.

Hanif W., Mensi W., Gubareva M., Teplova T.

We examine the time-frequency co-movements and return and volatility spillovers between the rare earths and 
six major renewable energy stocks. We employ the wavelet analysis and the spillover index methodology from 
January 1, 2018 to May 15, 2020. We report that the COVID-19-triggered significant increase in co-movements 
and spillovers in returns and volatility between the rare earths and renewable energy returns and volatility. The 
rare earths act as net recipient of both return and volatility spillovers, while the clean energy stocks are net 
transmitters of return and volatility spillovers before and during the COVID-19 crisis. The solar and wind stocks 
are net transmitters/receivers of spillovers before/during the pandemic. The remaining markets shift from net 
spillover receivers to transmitters or vice versa; evidencing the effects of the pandemic. Our results show that 
cross-market hedge strategies may have their efficiency impaired during the periods of crises implying a ne-
cessity of portfolio rebalancing. 

Keywords: вейвлет анализ, Ковид-19, Renewable energy indices, REMX rare Earth index, Return and volatility spillovers, Wavelet-based analysis, Spillover index methodology, индексы возобновляемой энергетики, индекс редкоземельных металлов REMX, переливы доходности и волатильности, индекс переливов, COVID-19

Publication based on the results of: Analysis of the behavior of financial assets under the influence of exogenous factors (2023)