Testing the persistence of shocks on renewable energy consumption: Evidence from a quantile unit-root test with smooth breaks

Ranjbar, Omid; Lee, Chi‐Chuan

doi:10.1016/j.energy.2020.119190

Cited by 28 publications

(3 citation statements)

References 100 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Other tests for a single unknown break are Brown et al ( 1975 ), Andrews ( 1993 ) and Andrews et al ( 1996 ) for instance. More recent studies extend the prior research to allow for multiple breaks, unit root dynamics, heteroskedasticity and serial correlation (e.g., Bai and Perron 1997 , 1998 , 2003 ; Elliott and Muller 2004 ; Lee et al 2021 ). Empirical investigation based on those recent econometric techniques includes Paye and Timmermann ( 2006 ), Rapach and Wohar ( 2006 ), and Hong et al ( 2018 ).…”

Section: Literature Reviewmentioning

confidence: 79%

COVID-19 and instability of stock market performance: evidence from the U.S.

2021

Self Cite

View full text Add to dashboard Cite

The effect of COVID-19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID-19 and the instability of both stock return predictability and price volatility in the U.S over the period January 1st, 2019 to June 30th, 2020 by using the methodologies of Bai and Perron (Econometrica 66:47–78, 1998. 10.2307/2998540; J Appl Econo 18:1–22, 2003. 10.1002/jae.659), Elliot and Muller (Optimal testing general breaking processes in linear time series models. University of California at San Diego Economic Working Paper, 2004), and Xu (J Econ 173:126–142, 2013. 10.1016/j.jeconom.2012.11.001). The results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA. The timing of the break is consistent with the COVID-19 outbreak, or more specifically the stock selling-offs by the U.S. senate committee members before COVID-19 crashed the market. Furthermore, return predictability and price volatility significantly increased following the derived break. The findings suggest that the pandemic crisis was associated with market inefficiency, creating profitable opportunities for traders and speculators. Furthermore, it also induced income and wealth inequality between market participants with plenty of liquidity at hand and those short of funds.

show abstract

Section: Literature Reviewmentioning

confidence: 79%

COVID-19 and instability of stock market performance: evidence from the U.S.

2021

Self Cite

View full text Add to dashboard Cite

show abstract

“…Chang et al (2011) suggested that a unit root test is also required for panel data estimation. Furthermore, Lee et al (2021) stated that the panel unit root test has higher power than individual time-series data. However, it is better to analyse the data stationarity before analysing the panel data.…”

Section: Panel Unit Root Testmentioning

confidence: 99%

Flight-to-Liquidity and Excess Stock Return: Empirical Evidence from a Dynamic Panel Model

Ali,

Rahman,

Arian

et al. 2023

JRFM

View full text Add to dashboard Cite

This study examines the impact of the flight-to-liquidity (FTL) phenomenon on the excess stock return by applying the previously developed generalised method of moments (GMM) framework. For this purpose, we use the data covering the period from 2004 to 2018 for 122 public companies listed on the Pakistan Stock Exchange (PSX). This study uses six proxies to measure the expected and unexpected illiquidity. The empirical investigation reveals that expected and unexpected illiquidities greatly influence smaller firms more notably than larger ones, which induces FTL phenomena into the market. Moreover, a FTL phenomenon triggered the Pakistani equity market during the financial crisis, when a significant decline appeared and the less liquid stocks were strongly affected. The results reveal that FTL risk is priced in the Pakistan equity market, making large stocks relatively more attractive in times of dire liquidity. These findings further suggest that the market participants in the Pakistan equity market, including policymakers, regulators and investors, should not ignore FTL phenomena while designing their portfolios.

show abstract

“…Lee, Ranjbar and Lee (2021b) [29] used quantile unit-root test with smooth breaks to test the persistence of shocks on renewable energy consumption in the USA over the period 1960-2017. Their findings indicated that the unit-root hypothesis was rejected for the renewable energy consumption series for 32 of the 51 states.…”

Section: -Literature Reviewmentioning

confidence: 99%

Are Shocks to Petroleum Products Consumption Permanent or Temporary: A New Evidence from LM Unit Root Tests with Structural Breaks

2021

View full text Add to dashboard Cite

The purpose of this paper is to examine whether shocks to the consumption of petroleum products in Jordan have permanent or temporary effects. This has been accomplished by applying Lee and Strazicich (2003) test of unit root with structural breaks to investigate the stationarity properties related to the time series of petroleum products consumption over the period 1961 to 2019. Empirical findings lend evidence that the consumption of petroleum products is a unit root process, implying that shocks to petroleum products consumption has permanent impact, and this consumption does not turn back to its time trend path following a shock. This indicates that there are high possibilities of energy demand management and conservation policies targeted towards achieving the intended goals in the long-run. In fact, this is compatible with the government energy strategies aimed at reducing the consumption of fossil oils. Doi: 10.28991/esj-2021-01279 Full Text: PDF

show abstract

Testing the persistence of shocks on renewable energy consumption: Evidence from a quantile unit-root test with smooth breaks

Cited by 28 publications

References 100 publications

COVID-19 and instability of stock market performance: evidence from the U.S.

COVID-19 and instability of stock market performance: evidence from the U.S.

Flight-to-Liquidity and Excess Stock Return: Empirical Evidence from a Dynamic Panel Model

Are Shocks to Petroleum Products Consumption Permanent or Temporary: A New Evidence from LM Unit Root Tests with Structural Breaks

Contact Info

Product

Resources

About