Measuring contagion effects of nuclear energy policies and events

Abstract

This paper investigates the contagion effects of five regional nuclear accidents, nuclear expansions, or nuclear phase‐out events or policies from 2007 to 2017 on the stock markets of the global nuclear energy markets. Contagion tests based on correlation and higher order comoments are applied to determine how these events or policy shocks affect global nuclear energy stock prices. The empirical results show that the Fukushima nuclear accident had the most significant impact on global nuclear energy markets, followed by the Korean nuclear expansion, while the German, Korean, and French nuclear phase‐out policies had the least pervasive contagion. The nonlinear dependence test detected more evidence of contagion than did the linear dependence test, indicating that both asymmetric and extremal dependences are important dimensions of measuring risk contagion in nuclear energy markets.