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Do Rare Earths and Energy Commodities Drive Volatility Transmission in Sustainable Financial Markets? Evidence from China, Australia, and the US

Author

Listed:
  • Inzamam UI Haq

    (Business School, Liaoning University, Shenyang 110036, China)

  • Hira Nadeem

    (Department of Management Sciences, Gift University, Gujranwala 52250, Pakistan)

  • Apichit Maneengam

    (Department of Mechanical Engineering Technology, College of Industrial Technology, King Mongkut’s University of Technology North Bangkok, Wongsawang, Bangsue, Bangkok 10800, Thailand)

  • Saowanee Samantreeporn

    (Faculty of Business Administration, Southeast Asia University, 19/1 Petchkasem Road, Nong Khaem, Bangkok 10160, Thailand)

  • Nhan Huynh

    (Department of Applied Finance, Macquarie Business School, Macquarie University, Sydney 2109, Australia)

  • Thasporn Kettanom

    (Educational Administration, Southeast Asia University, Bangkok 10160, Thailand)

  • Worakamol Wisetsri

    (Department of Social Science, Faculty of Applied Arts, King Mongkut’s University of Technology North Bangkok (KMUTNB), Bangkok 10800, Thailand)

Abstract
The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements, energy commodities, and sustainable financial markets. The sample covers global and major financial markets, i.e., US, China, and Australia. Using daily log returns from 2018 to 2022, the paper considers the dynamic Time Varying Parameter-Vector Autoregression (TVP-VAR) connectedness approach to gauge the time-varying features of volatility spillovers. The findings of total spillovers index reveal weak connectedness among markets during the sampled period. US and China rare earth markets were net volatility transmitters, whereas the Dow Jones Australia Sustainability Index (ASI), China Sustainability Index (CSI), Dow Jones Sustainability World Index (SWI), and MVIS Global Rare Earth Index (MVISGREI) were net recipients. Moreover, energy commodities i.e., WTI Crude Oil, Gasoline, and Natural Gas were net volatility transmitters, while ASI, CSI, and SWI were major volatility recipients. The weak financial contagion effect and connectedness across financial markets uncovers possible diversification opportunities. However, the US sustainable financial market is persistently not affected by these volatility spillovers. Policymakers need to establish strict regulations to protect sustainable financial markets in China and Australia.

Suggested Citation

  • Inzamam UI Haq & Hira Nadeem & Apichit Maneengam & Saowanee Samantreeporn & Nhan Huynh & Thasporn Kettanom & Worakamol Wisetsri, 2022. "Do Rare Earths and Energy Commodities Drive Volatility Transmission in Sustainable Financial Markets? Evidence from China, Australia, and the US," IJFS, MDPI, vol. 10(3), pages 1-22, September.
    • Handle: RePEc:gam:jijfss:v:10:y:2022:i:3:p:76-:d:907599
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    References listed on IDEAS

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