Wavelet-based test of co-movement and causality between oil and renewable energy stock prices

Reboredo, Juan C.; Castro, Miguel Angel Rivera; Ugolini, Andrea

doi:10.1016/j.eneco.2016.10.015

Cited by 398 publications

(165 citation statements)

References 30 publications

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“…In fact, he shows that oil price increases have a positive effect on company risk, whereas increases in company sales growth reduce systematic risk. Very recently, Reboredo et al (2017) investigate dependence and causal effects between oil price dynamics and renewable energy returns for the period 2006-2015. Through the use of continuous and discrete wavelets and linear and non-linear Granger causality tests, they find evidence of non-linear causality running from renewable energy indices to oil prices, and mixed evidence of causality propagating from oil prices to renewable energy prices.…”

Section: Oil Prices and The Renewable Energy Sectormentioning

confidence: 99%

Oil Prices and the Renewable Energy Sector

Kyritsis¹,

Serletis²

2019

The Energy Journal

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Energy security, climate change, and growing energy demand issues are moving up on the global political agenda, and contribute to the rapid growth of the renewable energy sector. In this paper we investigate the effects of oil price shocks, and also of uncertainty about oil prices, on the stock returns of clean energy and technology companies. In doing so, we use monthly data that span the period from May 1983 to December 2016, and a bivariate structural VAR model that is modified to accommodate GARCH-in-mean errors. Moreover, we examine the asymmetry of stock responses to oil price shocks of different sizes, with and without oil price uncertainty. Our evidence indicates that oil price uncertainty has no statistically significant effect on stock returns, and that the relationship between oil prices and stock returns is symmetric. Our results are robust to alternative model specifications and stock prices of clean energy companies.

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Section: Oil Prices and The Renewable Energy Sectormentioning

confidence: 99%

Oil Prices and the Renewable Energy Sector

Kyritsis¹,

Serletis²

2019

The Energy Journal

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“…Their results showed that correlation between oil and stock markets tended to be stable in non-shock phases, around zero, but changed due to the shocks of the oil and stock markets and the contagion effect during the 2008 and 2011 was also confirmed empirically. Reboredo et al (2017) examined co-movement and causality between oil and renewable energy stock indices' prices using continuous and discrete wavelets for the period 2006-2015. They found no linear causality at higher frequencies but unidirectional and bidirectional linear causality at lower frequencies.…”

Section: Wavelet Analysis For Relationship Between Oil Price Changes mentioning

confidence: 99%

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies: A Wavelet-Based Analysis

Liu

2017

SSRN Journal

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“…To study the combined performance of using multiple indices (corresponding to ETF), we need to illustrate the dependence structure of the ingredients and then examine the detailed performance of possible portfolios. In the field of energy-related securities investment, scholars use Granger casualty [10], the wavelet-based test [11], and copula models [12] to study the co-movements and volatility spillovers among energy stock prices or indices. However, there is still a gap in the research on combining the ESG index and renewable energy securities as a portfolio.…”

Section: Introductionmentioning

confidence: 99%

Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?

Liu

Hamori

2020

Energies

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Studies on the environmental, social, and governance (ESG) index have become increasingly important since the ESG index offers attractive characteristics, such as environmental friendliness. Scholars and institutional investors are evaluating if investment in the ESG index can positively change current portfolios. It is crucial that institutional investors seek related assets to diversify their investments when such investors create funds in the renewable energy sector, which is highly related to environmental issues. The ESG index has proven to be a good investment choice, but we are not aware of its performance when combined with renewable energy securities. To uncover this nature, we investigate the dependence structure of the ESG index and four renewable energy indices with constant and time-varying copula models and evaluate the potential performance of using different ratios of the ESG index in the portfolio. Criteria such as risk-adjusted return, standard deviation, and conditional value-at-risk (CVaR) show that the ESG index can provide satisfactory results in lowering the potential CVaR and maintaining a high return. A goodness-of-fit test is then used to ensure the results obtained from the copula models.

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Wavelet-based test of co-movement and causality between oil and renewable energy stock prices

Cited by 398 publications

References 30 publications

Oil Prices and the Renewable Energy Sector

Oil Prices and the Renewable Energy Sector

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies: A Wavelet-Based Analysis

Can One Reinforce Investments in Renewable Energy Stock Indices with the ESG Index?

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