Feverish sentiment, lockdown stringency, oil volatility, and clean energy stocks during COVID-19 pandemic

Abstract

PurposeThis study seeks to investigate role of the coronavirus disease 2019 (COVID-19) pandemic on clean energy stocks for the United States for the period 21 January 2020–16 August 2021.Design/methodology/approachAt the empirical stage, the Fourier-augmented vector autoregression approach has been used.FindingsAccording to the empirical results, the response of the clean energy stocks to the feverish sentiment, lockdown stringency, oil volatility, dirty assets, and monetary policy dies out within a short period of time. In addition, the authors find that there is a unidirectional causality from the feverish sentiment index and the lockdown stringency index to the clean energy stock returns; and from the monetary policy to the clean energy stocks. At the same time, there is a bidirectional causality between the lockdown stringency index and the feverish sentiment index. The empirical findings can be helpful to both practitioners and policy-makers.Originality/valueAmong the COVID-19 variables used in this study is a new feverish sentiment index, which has been constructed using principal component analysis. The importance of the feverish sentiment index is that it allows us to examine the impact of the aggregate level of fear in the economy on clean energy stocks.