Is Hydrogen a diversifier? Insights from Wavelet Quantile Correlation
Multinational Finance Journal, 2026, vol. 30, no. 1/2, pp. 1-24
https://doi.org/10.5281/zenodo.19108100 – an open-access journal article
Georgios Angelopoulos, Department of Accounting and Finance, University of West Attica, Athens and Bank of Greece, Greece
Dimitrios Dimitriou, Department of Accounting and Finance, University of West Attica, Athens, Greece
Dimitris Kenourgios, Department of Economics and UoA Center for Financial Studies, National and Kapodistrian University of Athens, Athens, Greece
Alexandros Tsioutsios, Department of Economics and UoA Center for Financial Studies, National and Kapodistrian University of Athens, Athens, Greece
Abstract:
This study explores the time and distribution-dependent co-movements between the Global X Hydrogen ETF (i.e., HYDR.O) and a range of traditional market assets, including metals (gold, aluminum, and steel), energy commodities (Brent crude oil and natural gas), and equity benchmarks (S&P 500 and Nasdaq 100). Using the Wavelet Quantile Correlation (WQC), we empirically investigate the dynamic dependence structure between HYDR.O and traditional assets in both the time and frequency domains. Our results reveal that HYDR.O exhibits weak or near-zero correlation (i.e., dependence) on fossil fuel-linked markets, especially natural gas and oil, across all quantiles and wavelet scales. This highlights the distinct behavior of clean energy assets, particularly in periods of market stress or extreme returns, such as Russo-Ukrainian War. In contrast, we observe moderate and stable positive correlation with major equity indices such as the S&P 500 and Nasdaq 100, suggesting that HYDR.O partially inherits the growth characteristics of broader stock markets. ETF’s correlation with steel is weak, and its relationship with gold is stable but mild, highlighting further diversification from industrial or defensive commodities. These findings highlight the unique diversification role of hydrogen-focused ESG investments.
Keywords:
Wavelet Quantile Correlation, Hydrogen ETF, Green Investing, Commodity Markets, Time-Frequency Analysis, Portfolio Diversification Theory
Citation (APA):
Angelopoulos, G., Dimitriou, D., Kenourgios, D., & Tsioutsios, A. (2026). Is Hydrogen a diversifier? Insights from Wavelet Quantile Correlation. Multinational Finance Journal, 30(1/2), 1–24.
Citation (Harvard):
Angelopoulos, G., Dimitriou, D., Kenourgios, D. and Tsioutsios, A., 2026. Is Hydrogen a diversifier? Insights from Wavelet Quantile Correlation. Multinational Finance Journal, 30(1/2), pp.1–24.