Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach

Abstract

In this study, we examine the potential roles of gold and crude oil as safe-haven assets against extreme down movements in clean energy stock indices. We employ copulas on daily data from November 21st, 2003 to March 30th, 2018 covering two clean energy stock indices, the S&P Global Clean Energy and the WilderHill Clean Energy. Instead of adopting a priori selection of the best copula function based on a single copula, we consider single and mixture copulas to better illustrate the dependence between the pairs of variables under study. We also apply parametric as well as non-parametric tail dependencies measures. Empirical results show that both crude oil and gold are no more than weak safe-haven assets for clean energy indices. However, the superiority of crude oil to gold is evidenced in case of infinitely extreme market movements. This superiority is validated for WilderHill Clean Energy Index but endorsed to gold when examined against Global Clean Energy Index, in extreme market movements.