From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets

Muhammad Abubakr Naeem; Najaf Iqbal; Sitara Karim; Brian M. Lucey

doi:10.1016/j.frl.2023.104010

From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets

Muhammad Abubakr Naeem, Najaf Iqbal, Sitara Karim, Brian M. Lucey

Economics and Finance - (CBE)

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

Abstract

This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic. Our results indicate that water and timber markets can serve as reliable safe-haven options for energy investors. Moreover, our findings suggest a weak link between natural gas and its counterparts, underscoring the need for energy portfolios to diversify. This study provides valuable insights for investors seeking to navigate extreme risk.

Original language	English
Article number	104010
Journal	Finance Research Letters
Volume	55
DOIs	https://doi.org/10.1016/j.frl.2023.104010
Publication status	Published - Jul 2023

Keywords

CAViaR
Oil and gas
Tail-risk spillovers
Water and timber

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2023.104010

Cite this

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title = "From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets",

abstract = "This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic. Our results indicate that water and timber markets can serve as reliable safe-haven options for energy investors. Moreover, our findings suggest a weak link between natural gas and its counterparts, underscoring the need for energy portfolios to diversify. This study provides valuable insights for investors seeking to navigate extreme risk.",

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T2 - Investigating the domino effect of extreme risk in timber, water, and energy markets

AU - Naeem, Muhammad Abubakr

AU - Iqbal, Najaf

AU - Karim, Sitara

AU - Lucey, Brian M.

PY - 2023/7

Y1 - 2023/7

N2 - This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic. Our results indicate that water and timber markets can serve as reliable safe-haven options for energy investors. Moreover, our findings suggest a weak link between natural gas and its counterparts, underscoring the need for energy portfolios to diversify. This study provides valuable insights for investors seeking to navigate extreme risk.

AB - This study explores the interdependence between timber, water, and energy markets and investigates the potential domino effect of extreme risk across these markets. Specifically, using CAViaR-TVP-VAR, we examine the role of water and timber investments as safe-havens and hedges for traditional energy markets, before and after the COVID-19 pandemic. Our results indicate that water and timber markets can serve as reliable safe-haven options for energy investors. Moreover, our findings suggest a weak link between natural gas and its counterparts, underscoring the need for energy portfolios to diversify. This study provides valuable insights for investors seeking to navigate extreme risk.

KW - CAViaR

KW - Oil and gas

KW - Tail-risk spillovers

KW - Water and timber

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From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets

Abstract

Keywords

ASJC Scopus subject areas

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