Petrol Fiyatları ve Temiz Enerji Endeksleri Arasındaki İlişkinin NARDL ve DCC Yöntemleri ile İncelenmesi
Investigating the Relationship Between Oil Prices and Clean Energy Indexes Using NARDL and DCC Methods

Summary/Abstract: The relationship between oil prices and clean energy indices is of great importance for investors and financial market participants when considered as a financial investment tool. As the world grapples with environmental challenges and seeks sustainable solutions, understanding the impact of oil prices on the clean energy sector plays a critical role in strategic decision-making processes. Fluctuations in oil prices can directly impact the financial performance of the clean energy sector by affecting the returns and costs of clean energy investments. Investors need insights into the potential asymmetric effects of oil prices on sustainability and clean energy indices; this can shape their portfolio allocations and risk management strategies. As global sustainability concerns and shifts towards clean energy continue to evolve, the complex relationship between traditional energy markets and the expanding clean energy sector remains a subject of study in the literature. The decreasing reliance on conventional energy sources and the accelerated transition to renewable energy sources create significant implications for financial markets. In this transformative process, it is crucial for investors to analyze the short- and long-term impacts of changes in oil prices on the clean energy sector. Understanding the complex relationship between traditional energy markets and the expanding clean energy sector can help investors anticipate future trends and develop sustainable investment strategies. Moreover, understanding the asymmetric effects of oil prices on clean energy investments plays a vital role in achieving global sustainability goals and addressing environmental challenges. In this context, an in-depth analysis of these dynamics will provide valuable insights not only for academic research but also for policymakers and investors. In this article, we examine the complex relationship between oil prices, sustainability, and clean energy indices using a comprehensive dataset spanning from 2014 to 2023. The focus of the analysis is on the West Texas Intermediate (WTI) crude oil futures prices, the Dow Jones Sustainability World Index (DJSWI), and the S&P Global Clean Energy Index (SPGCE). These variables represent critical aspects of the financial system by reflecting the dynamics between traditional energy sources, sustainability initiatives, and the emerging clean energy sector. In this context, the study employs the Nonlinear Autoregressive Distributed Lag (NARDL) method to explore the asymmetric effects of West Texas Intermediate (WTI) prices on the S&P Global Clean Energy Index (SPGCE) and the Dow Jones Sustainability World Index (DJSWI). The NARDL method is advantageous due to its applicability to variables with different levels of stationarity and its effectiveness in handling small sample sizes. The study also incorporates the Dynamic Conditional Correlation (DCC) model to assess the timevarying relationships between the variables. In this context, the study differs from existing literature by examining the asymmetric effects of oil prices on sustainability and clean energy indices using both the NARDL and DCC methods. According to the results from the NARDL model, it was found that positive shocks in WTI prices have a more significant effect on the S&P Global Clean Energy Index (SPGCE) compared to negative shocks. According to the Dynamic Multiplier test, positive and negative shocks to the WTI variable have a weak negative effect on SPGCE from the third to the fifth period, gradually approaching equilibrium thereafter. The results obtained from the DCC model indicate a positive and strong relationship between WTI prices and the S&P Global Clean Energy Index (SPGCE). The positive relationships between WTI prices and clean energy indices, especially during periods of positive shocks in oil prices, suggest potential opportunities for returns. However, awareness of the highlighted dynamic relationships is crucial, and investors should employ diversification strategies to mitigate risks associated with fluctuations in oil prices. Considering the results obtained from the DCC model, investors should actively monitor market dynamics and adjust their investment strategies accordingly. During significant event periods identified in the study, such as the "COVID Era," correlations between assets can change rapidly. Being mindful of these changes can assist investors in making timely and informed decisions. Moreover, given the positive relationship between sustainability indices and oil prices, portfolio managers may consider increasing allocations to sustainable investments. Integrating companies with strong sustainability practices can enhance portfolio resilience and align with global environmental-conscious initiatives.

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