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Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Univ Newcastle, Australia.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.ORCID iD: 0000-0002-1798-8284
2019 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 80, p. 743-759Article in journal (Refereed) Published
Abstract [en]

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. (C) 2019 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2019. Vol. 80, p. 743-759
Keywords [en]
Renewable energy stock price; Oil; Exchange rate; Gold; Cross-quantilogram
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-159169DOI: 10.1016/j.eneco.2019.02.014ISI: 000474681100055OAI: oai:DiVA.org:liu-159169DiVA, id: diva2:1339641
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation

Available from: 2019-07-30 Created: 2019-07-30 Last updated: 2019-07-30

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CiteExportLink to record
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  • apa
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