Does the price of oil interact with clean energy prices in the stock market
By Shunsuke Managi, Tatsuyoshi Okimoto. 2013
351 citations recorded by the source corpus.
In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices, endogenously controlling for structural changes in the market. To this end, we apply Markov-switching vector autoregressive models to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The results indicate that there was a structural change in late 2007, a period in which there was a significant increase in the price of oil. In contrast to the previous studies, we find a positive relationship between oil prices and clean energy prices after structural breaks. There also appears to be a similarity in terms of the market response to both clean energy stock prices and technology stock prices. © 2013 Elsevier B.V.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/29ccbc1475294dfd1fd6fd8c3cfb9b99bbadb63e
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Citations in the corpus
- European Green Mutual Fund Performance: A Comparative Analysis with their Conventional and Black Peers (2015, neutral): “…stock market, rising prices of high technology shares and soaring oil prices from the turn of the millennium until the global financial crisis (see Henriques and Sadorsky 2008; Kumar et al. 2012; Bohl et al. 2015; Sadorsky 2012; Inchauspe et al. 2015; Bohl et al. 2013; Managi and Okimoto 2013).”
- Frequency connectedness and cross-quantile dependence between green bond and green equity markets (2021, background): “Broadstock & Cheng (2019) and Pham & Huynh (2020) investigate the role of investor attentition on green bond market performance.”
- The environmental Kuznets curve in Indonesia: Exploring the potential of renewable energy (2016, background): “Kumar et al. (2012) and Managi and Okimoto (2013) find that people’s attitude toward the environment can also be influenced by incidental events such as a surge in oil prices.”
- How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China (2014, background): “…has a significant effect on alternative energy stock returns depends on the sample period, and that the stock prices of technology companies are more highly correlated with those of alternative energy companies (e.g., Henriques and Sadorsky, 2008; Kumar et al., 2012; Managi and Okimoto, 2013).”