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.

Reboredo, J., Ugolini, A. (2018). The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach. ENERGY ECONOMICS, 76(October 2018), 136-152 [10.1016/j.eneco.2018.10.012].

The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach

Ugolini A.
2018

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.
Articolo in rivista - Articolo scientifico
C lean energy stock price returns; C opulas; Energy prices
English
2018
76
October 2018
136
152
none
Reboredo, J., Ugolini, A. (2018). The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach. ENERGY ECONOMICS, 76(October 2018), 136-152 [10.1016/j.eneco.2018.10.012].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/334007
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