Measuring contagion effects of nuclear energy policies and events

Summary 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. Both linear and nonlinear dependence tests of contagion are examined to identify how events or policy shocks affect global nuclear energy markets by capturing changes in asset‐return relationships, including cross‐country mean and mean (correlation), cross‐country mean and volatility (coskewness), cross‐country mean and skewness (cokurtosis), and cross‐country volatilities (covolatility). This paper studies the contagious effects of three events—nuclear disasters, nuclear expansion policies, and nuclear phase‐out policies—on nuclear market performance. Finally, based on the use of four test models, this article attempts to find one of the most efficient tools for evaluating the contagion effects of nuclear power policies by investigating the size and power properties of these contagion tests.