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Testing for Persistence in German Green and Brown Stock Market Indices

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana
  • Sakiru A. Solarin
  • OlaOluwa S. Yaya
Abstract
This study examines the stochastic properties of German green and brown stock prices; more specifically, fractional integration methods are applied to daily data on representative green and brown stock indices for the Berlin, Dusseldorf, Frankfurt, Gettex, Munich, and Stuttgart stock exchanges over the period from 13 May 2019 to 8 May 2024. The results indicate a higher degree of persistence in the case of green stock prices vis-à-vis brown ones, although the differences are not statistically significant over the full sample. However, when splitting the sample into three subperiods (pre-Covid-19, Covid-19 and post-Covid-19), statistically significant differences are found, especially during the pandemic period. Moreover, the estimation of a GARCH (1,1) model for stock returns shows that their conditional volatility is characterised by lower persistence and shorter half-lives in the case of brown stocks.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Sakiru A. Solarin & OlaOluwa S. Yaya, 2024. "Testing for Persistence in German Green and Brown Stock Market Indices," CESifo Working Paper Series 11207, CESifo.
    • Handle: RePEc:ces:ceswps:_11207
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    File URL: https://www.cesifo.org/DocDL/cesifo1_wp11207.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    green stocks; brown stocks; fractional integration persistence; Covid-19 pandemic; Germany;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

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