Politická ekonomie 2024, 72(3):478-500 | DOI: 10.18267/j.polek.1415

Long Memory in Clean Energy Exchange Traded Funds

Arife Özdemir Höl ORCID...
Department of Finance and Banking, Burdur Mehmet Akif Ersoy University, Turkey

This study aims to investigate whether clean energy exchange traded funds (ETFs) exhibit long-term memory properties and whether the efficient market hypothesis is valid for these assets. The results of the model established to test the dual long memory indicate the existence of long memory in both return and volatility of the ICLN, PBD, PBW series, while the long memory feature is found only in the volatility of the other variables. The results reveal that the selected clean energy ETFs do not exhibit weak efficient market characteristics and volatility has a predictable structure. These results mean that by using the past price movements of clean energy ETFs, future price movements can be predicted and thus above-normal returns can be obtained. In addition, it can be said that risks and uncertainties are effective on the price movements of clean energy ETFs. These results are important for portfolio managers, hedgers and individual and institutional investors aiming to direct their investments to the renewable energy market, as well as for policymakers.

JEL classification: C22, C58, G14, Q42

Received: June 3, 2023; Revised: September 27, 2023; Accepted: October 3, 2023; Prepublished online: April 25, 2024; Published: June 24, 2024  Show citation

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Höl, A.Ö. (2024). Long Memory in Clean Energy Exchange Traded Funds. Politická ekonomie, 72(3), 478-500. doi: 10.18267/j.polek.1415
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