Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis

Kocaarslan, Barış; Soytaş, Uğur

doi:10.1016/j.egyr.2019.01.002

Cited by 124 publications

(69 citation statements)

References 29 publications

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“…A ij . Many researchers [1,10,26,30,36,39,40,59,60,64] use the autoregressive-distributed lag model (ARDL) and the bounds testing methodology because these models can be used with a mixture of I(0) and I(1) data. In our study, we have both stationary and non-stationary variables so this approach will help in our research.…”

Section: Econometric Methodsmentioning

confidence: 99%

“…As such, ascertaining the way oil price dynamics influence the performance of renewable energy companies may be valuable for investors to discern whether an investment in renewable energy stocks is more or less acceptable when oil prices are high or low [9]. Besides, geopolitical issues and a political lack of confidence in areas where oil stocks prevail and climate change-which is instigated by fossil fuels, such as oil-pose a threat to worldwide markets and natural settings [10].…”

Section: Introductionmentioning

confidence: 99%

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On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

2019

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his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

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Section: Econometric Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

2019

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“…Notwithstanding the appropriateness of the ARDL procedure in this study, we also deploy nonlinear autoregressive distributed lag (NARDL) as a robust test. The ills of earlier studies that deployed only the ARDL model is that if the relationship among their variables is not linear, then all those studies may have produced wrongful estimates about the actual relationships among their variables (Kocaarslan and Soytas 2019). To defeat this potential risk, we follow Shin et al 2014and utilize their newly created asymmetric NARDL model that captures conceivable long-and short-run nonlinearities.…”

Section: Co-integration Testmentioning

confidence: 99%

“…Our study likewise adds to literature by utilizing the recently developed nonlinear autoregressive distributed lag (NARDL) by Shin et al (2014) in our analysis. Kocaarslan and Soytas (2019) show that disregarding nonlinearity in time series study could end in wrong estimates and deluding inferences. Shockingly, most studies, for example, Bilgili and Ulucak (2018), Wen et al (2019), and Kim et al (2020), disregarded nonlinearity in their time-series studies.…”

Section: Introductionmentioning

confidence: 99%

Nexus among biomass consumption, economic growth, and CO2 emission based on the moderating role of biotechnology: evidence from China

Quacoe

Wen

Quacoe

2020

Environ Sci Pollut Res

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This study seeks to dissect the basic factors that can elucidate the efficiency and innovation in biomass utilization to control carbon dioxide (CO 2) emission and economic growth nexus particularly at the time that the worldwide CO 2 emission is at an all-time high and COVID-19 is ravaging the word. We use data principally from the World Bank Indicators covering the period 1990-2016 to study the nexus among biomass utilization, economic growth, and CO 2 emission based on the moderating role of biotechnology in China. On the basis of the results of our preliminary tests, we apply the autoregressive distributed lag (ARDL) for this analysis and employ the nonlinear autoregressive distributed lag (NARDL) as a robust check and also deploy the vector error correction model (VECM) to determine the direction of causality. We find that long-run relationship exists among the factors in this study. We additionally find that biotechnology has a critical but negative relationship with CO 2 emission in China. Through hierarchical multiple regression analysis and PROCESS macro for mediation, moderation, and conditional process, we establish that biotechnology significantly moderates the relationship between biomass utilization and CO 2 emission in China. Again, we discover that biomass utilization significantly decreases CO 2 emission in China. Through the ARDL, NARDL, and VECM, we find empirical support for the growth hypothesis in China. We conduct a series of diagnostic tests that prove the robustness of our estimates. Based on our empirical evidence, this study recommends that China seeks sustainable economic development and environmental sustainability simultaneously by prioritizing biomass utilization and biotechnological innovation in the country.

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“…Nowadays, many countries have targeted the use of clean energy in order to obtain sustainable development and environmental protection (Tran et al, 2020). In this context, Kocaarslan and Soytas (2019) indicated a negative effect on stock returns of clean energy due to increasing in oil price could be found. This was supported by the indication of business cycle changes in clean energy stock efficiency in the long-run.…”

Section: Introductionmentioning

confidence: 99%

Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach

Nguyễn

Nguyen

Tran

2020

Cogent Economics & Finance

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This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil-and gas-related firms. Based on copula approach and the sample data of domestic giant oil-and gas firms from 2009 to 2019, in particular in the situation of oil price steadily going up and economic depression of 2011-2012; approximately nine copulas including Gauss, Clayton, Rotated-Clayton, Plackett, Frank, Gumbel, Rotated-Gumbel, Student, Symmetrized-Joe-Clayton have been focused. A new evidence could be found that the oil price shocks have not impacted on the stock return of oil-and gas-related firms in the wave of increasing oil price, but a lagged period of time oil-and gas-related firms could receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on the financial performance of some firms as PVS, PVG, and PET in the pre-depression period. In respect to the economic depression of 2011-2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns of oil-and gas-related firms. In other words, results in the post-depression period suggest that world oil price shocks can affect stock returns of selected giant oil-and gas-related firms.

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Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis

Cited by 124 publications

References 29 publications

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Nexus among biomass consumption, economic growth, and CO2 emission based on the moderating role of biotechnology: evidence from China

Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach

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