AUTHOR=Liu Xin , Bouri Elie , Jalkh Naji TITLE=Dynamics and Determinants of Market Integration of Green, Clean, Dirty Energy Investments and Conventional Stock Indices JOURNAL=Frontiers in Environmental Science VOLUME=9 YEAR=2021 URL=https://www.frontiersin.org/journals/environmental-science/articles/10.3389/fenvs.2021.786528 DOI=10.3389/fenvs.2021.786528 ISSN=2296-665X ABSTRACT=

We examine market integration across and clean and green investments, crude oil, and conventional stock indices covering technology stocks, and United States and European stocks. Using daily data covering the period December 1, 2008—October 8, 2020, we first apply the dynamic equicorrelation (DECO) model and make inferences regarding the time-varying level of market integration. Then, we use several regression models and uncover the driving factors of market integration under lower and upper quantiles of the distribution of the equicorrelation. The results show that return equicorrelation varies with time and is shaped by the COVID19 outbreak. Various uncertainty measures are the main drivers of market integration, especially at high levels of market integration. During the COVID-19 outbreak period, the United States Dollar index, the term spread, and the Chinese stock market index have significantly increased market integration.