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  • 1.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Hedström, Axel
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ahmed, Ali
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes2019In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 80, p. 743-759Article in journal (Refereed)
    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.

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