Early market efficiency testing among hydrogen players

Abstract

We study the stock price efficiency of companies with exposure to the hydrogen economy. As hydrogen, a pillar of the energy transition required for the global society to achieve the Sustainable Development Goals for 2030, does not trade as a commodity, we use the Solactive Hydrogen Index NTR as a proxy. Efficiency is assessed through a fractal methodology, with data from November 2018 to June 2021. Additionally, we run a time-varying approach that improves the robustness of the efficiency estimates. We find random price behavior consistent with the weak version of the market efficiency hypothesis, with only slight departures from efficiency in some companies with higher hydrogen exposure. There is also evidence of time-varying behavior of randomness during the acute pandemic period. The study validates the Solactive Hydrogen Index as an adequate proxy for the hydrogen economy.