The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach
By Juan Carlos Reboredo, A. Ugolini. Energy Economics, 2018
205 citations recorded by the source corpus.
Abstract We assess the impact of quantile price movements in oil, gas, coal and electricity on the quantiles of clean energy stock returns using a multivariate vine-copula dependence setup. For the period 2009–2016, our evidence shows that oil and electricity prices were major contributors to the dynamics of clean energy stock returns in the USA and the EU, respectively, whereas the other energy prices played a minor role in shaping clean energy stock returns. Furthermore, we find evidence of a symmetric energy price impact, so extreme upward and downward energy price movements had a similar impact on clean energy stock returns. This evidence has potential implications for risk management decision making by energy investors and for policy maker decisions regarding support for clean energy deployment.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/8a2c928fd27065397c6840d334f2ad04798f52b4
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Citations in the corpus
- The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach (2021, unknown): “For example, the impact of oil prices is found to be either positive (see, e.g., Chevallier, 2009; Creti et al., 2012; Reboredo and Ugolini, 2018), or negative/insignificant (see, e.g., Bredin and Muckley, 2011; Reboredo, 2014; Hammoudeh et al., 2014b, 2015; Yu et al., 2015b).”
- Frequency connectedness and cross-quantile dependence between green bond and green equity markets (2021, background): “Reboredo (2018) studies the tail dependence between green bond and the general stock, energy and bond markets and finds that green bond can be an effective diversification tool for stock and energy markets.”
- A Random Forests Approach to Predicting Clean Energy Stock Prices (2021, unknown): “…stock returns (Bondia et al. 2016; Dutta 2017; Dutta et al. 2018; Elie et al. 2019; Gupta 2017; Henriques and Sadorsky 2008; Kumar et al. 2012; Maghyereh et al. 2019; Managi and Okimoto 2013; Reboredo 2015; Reboredo et al. 2017b; Reboredo and Ugolini 2018; Uddin et al. 2019; Wen et al. 2014).”