Wednesday Research Seminar Series - Risk Dynamics in Energy Transition: Evaluating Downside Risks and Interconnectedness in Fossil Fuel and Renewable Energy Markets

We are pleased to invite you to our Wednesday Research Seminar. It will be held online on 20th March from 1.45pm via Microsoft team platform. Wednesday Research Seminar Series was launched in 2008 and has featured more than 350 presentations to date. The seminars provide a forum for researchers to share their work. Presenters include faculty from Middlesex University Dubai and other universities in the United Arab Emirates, as well as researchers from other global institutions. Faizal will deliver seminar on:         

Risk Dynamics in Energy Transition: Evaluating Downside Risks and Interconnectedness in Fossil Fuel and Renewable Energy Markets”

Faisal Nazir Zargar

Abstract

This study presents an in-depth analysis of downside risk spillover between the fossil fuel sector, represented by the crude oil, and the renewable energy sector, symbolized by lithium, using a conditional autoregressive value-at-risk (CAViaR) combined with time-varying parameter vector autoregression (TVP-VAR). The study spans from January 2011 to August 2023, focusing on extreme market events like the COVID-19 pandemic and the Russia-Ukraine conflict. Findings reveal a strong tail-risk connectedness between the lithium stocks of the same country, and during extreme market events such as the COVID-19 pandemic and the Russia-Ukraine conflict, there is a strong transmission of tail risk across the lithium stocks of different countries. Moreover, a strong bidirectional tail-risk connectedness is observed between crude oil and lithium stocks. The study has important implications for portfolio managers, fund managers and investors with respect to portfolio optimization and asset allocation. Also, the findings have important implications for financial risk management with respect to energy transition from fossil fuels to renewable energy.

Presenter Bio

Dr. Faisal Nazir is an Assistant Professor in Finance. He holds a PhD in Finance from Indian Institute of Management Kashipur. Faisal’s main research interests include areas such as Volatility Modelling, Financial Econometrics, Time-series Analysis, GCC Stock Markets, Sustainable Finance, Crypto-economics, and Tourism Economics. He has published in top-tier Finance journals like International Review of Economics and Finance, Quarterly Review of Economics and Finance, Tourism Economics, Research in International Business and Finance, etc. He is also active in conducting FDPs and MDPs on topics such as Time-series Analysis, Financial Econometrics, Financial Literacy, etc. He is currently working at BITS Pilani Dubai Campus, UAE.

Look forward to seeing you at the seminar!