Co-movement between oil price, <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.svg"><mml:msub><mml:mi>CO</mml:mi><mml:mn>2</mml:mn></mml:msub></mml:math> emission,renewable energy and energy equities: Evidence from GCC countries

Using the data from GCC countries, this paper analyses co-movement between oil price, EU carbon allowance prices, global clean energy index and equity three counties, namely, Kuwait, Saudi Arabia United Arab Emirates. Almost no previous research has investigated dynamic interrelations in conventional markets, like those of against dramatic growth production new emissions trading schemes. Employing different multivariate GARCH models, we document existence volatility spillover effects among production, crude CO2 emission price each stock markets. Furthermore, found that conditional variances all return series are influenced by shocks coming markets themselves. Volatilities under consideration highly persistent, long-run persistent volatilities more pronounced especially for prices. The forecasting exercise demonstrates superior performance diagonal-BEKK models.