Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes
By Gazi Salah Uddin, Lutfur Rahman, Axel Hedström, Ali M. Ahmed. Energy Economics, 2019
178 citations recorded by the source corpus.
We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. Applying a recently developed cross-quantilogram approach, we provide two novel findings. First, although prior studies show that RE stock returns have a positive dependence on changes in oil prices and in the aggregate stock index, we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags. Second, while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns, we report that this positive influence on RE stock returns is observed only during extreme market conditions. These results are robust, (i)even after controlling for economic policy and equity market uncertainties, as well as (ii) in both a time-static full sample and recursive subsamples.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/1507b98039dd02ffbc946d402ffc42b52e07d681
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Renewable Energy, Sustainability and the Environment
Citations in the corpus
- Frequency connectedness and cross-quantile dependence between green bond and green equity markets (2021, background): “Uddin et al. (2019) analyze the cross-quantile dependence between clean energy stock and oil prices, general stock, exchange rates and gold prices.”