Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies

By Perry Sadorsky. 2012

818 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/59fa86419cd71f7f12583525112aab3d0b5d0fb4

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Citations in the corpus

Is it risky to go green? A volatility analysis of the green bond market (2016, background): “…the green equity market and other sectors of the market such as the conventional equity market, the oil and carbon market and find that there are significant interdependence between the green equity market and the broader financial market (e.g. Kumar, Managi, and Matsuda 2012; Sadorsky 2012).”
Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020, neutral): “Earlier research found a weak link among oil prices and clean energy (see Henriques and Sadorsky, 2008; Sadorsky 2012; Ahmad 2017; Ferrer et al., 2018).”
From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks (2013, neutral): “Interestingly, both Henriques and Sadorsky (2008) and Sadorsky (2012b) document that renewable energy stocks exhibit substantial market risk, as their betas range from 1.4 to even 2.”
Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat (2014, background): “Sadorsky (2012) uses multivariate GARCH(1,1) models to investigate volatility spillovers between the stock prices of clean energy companies, technology companies and oil prices.”
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, background): “…between the oil and stock market returns is indeed dynamic (see, Aloui and Jammazi, 2009; Choi and Hammoudeh, 2010; Bharn and Nikolovann, 2010; Filis et al., 2011; Broadstock et al., 2012; Sadorsky, 2012; Broadstock and Filis, 2013; Chang et al., 2013; Antonakakis and Filis, 2013; Filis, 2014).”
Clean energy industries and rare earth materials: Economic and financial issues (2013, background): “They find that carbon price returns are not a significant factor in stock price movements for clean energy; conversely, technology stock prices positively affect the stock prices of clean energy companies since the success or failure of alternative energy companies often depends upon the success or ”
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, methodology): “…the hedge ratio between asset 𝑖 (long position) and asset 𝑗 (short position), can be computed as: 16 𝛽 𝑖𝑗,𝑡∗ = 𝐶𝑜𝑣(𝑟 𝑖𝑡 , 𝑟 𝑗𝑡 ) To obtain dynamic hedge ratios, we follow Sadorsky (2012, 2014) and Basher and Sadorsky (2016) who employ a rolling window analysis with out-of-sample…”
Does the price of oil interact with clean energy prices in the stock market (2013, neutral): “(see also Sadorsky, 2012).”
Hedging Strategies of Green Assets against Dirty Energy Assets (2020, methodology): “Using wavelet methods, Reboredo et al. [12] report evidence of a weak dependence between global oil prices and clean energy stock prices in the short-term, whereas a strong dependence is shown in the long-term, especially after the GFC, which corroborates with Broadstock et al. [29] and Sadorsky [13”