Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19

Muhammad Abubakr Naeem; Sitara Karim; Saqib Farid; Aviral Kumar Tiwari

doi:10.1016/j.eap.2022.06.015

Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19

Econ Anal Policy. 2022 Sep:75:548-562. doi: 10.1016/j.eap.2022.06.015. Epub 2022 Jun 21.

Authors

Muhammad Abubakr Naeem^{1

2}, Sitara Karim³, Saqib Farid⁴, Aviral Kumar Tiwari^{5

6}

Affiliations

¹ Accounting and Finance Department, United Arab Emirates University, P.O. Box 15551, Al-Ain, United Arab Emirates.
² South Ural State University, Lenin Prospect 76, Chelyabinsk 454080, Russian Federation.
³ Nottingham University Business School, University of Nottingham Malaysia Campus, Semenyih, Malaysia.
⁴ Dr Hassan Murad School of Management, University of Management and Technology, Lahore, Pakistan.
⁵ Indian Institute of Management Bodh Gaya, Bodh Gaya, India.
⁶ Rajagiri Business School, Rajagiri Valley Campus, Kochi, India.

Abstract

In the backdrop of the recent COVID-19 pandemic, the study examines the comparative asymmetric efficiency of dirty and clean energy markets pre and during the COVID-19 pandemic. For this purpose, we utilize an asymmetric multifractality detrended fluctuation analysis (A-MF-DFA). The study's findings uncover the presence of asymmetric multifractality in clean and dirty energy markets. In addition, multifractality in the energy markets is sensitive to trends, time horizon and major events. More importantly, the results suggest superior efficiency of clean-energy markets compared to conventional energies. We confirm the time-varying nature of market efficiency in the energy markets, and during the recent COVID-19 outbreak, market inefficiencies in the clean and dirty energy markets soared. In this way, the study holds meaningful insights for policymakers, energy policy practitioners, investors, and financial market participants to choose between clean (dirty) investments based on their asymmetric efficiency (inefficiency).

Keywords: Asymmetric multifractality; COVID-19 pandemic; Clean energy sector; Crisis periods; Energy markets.