Interdependence Between Renewable-Energy and Low-Carbon Stock Prices

Reboredo, Juan C.; Ugolini, Andrea; Chen, Yifei

doi:10.3390/en12234461

Cited by 15 publications

(7 citation statements)

References 31 publications

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“…The few studies that considered carbon price documented varying results with Kumar et al (2012) and Dutta et al (2018) establishing absence of a significant influence of carbon price on CERs. However, Hanif et al (2021), Reboredo et al (2019) and Wang and Cai (2018) established a significant positive effect of carbon price on CERs.…”

Section: Energy Security Elements and Clean Energy Stock Returns/vola...mentioning

confidence: 91%

External energy security elements and the riskiness of clean energy stocks: a volatility analysis

Hassan¹

2023

SAMPJ

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Purpose Clean energy stocks are exhibiting signs of increasing volatility reflecting the varied and conflicting strategies employed by nations to pursue energy security objectives. In this regard, this paper aims to examine the response of NASDAQ clean energy stock returns volatility to the influences of external energy security elements including oil price, natural gas price, coal price, carbon price and green information technology stock price. Design/methodology/approach The paper uses symmetric and asymmetric generalised autoregressive conditional heteroskedasticity models (GARCH and TGARCH, respectively), which incorporate external energy security elements as exogenous variables, to estimate volatility models for clean energy stock returns. Findings Although, prices of oil, coal and natural gas are negatively associated with NASDAQ clean energy returns volatility, only the effect of natural gas price is significant. While carbon price affects NASDAQ clean energy returns volatility positively, green information technology price affects the volatility negatively. These results are robust to exponential GARCH and lead-and-lag robust ordinary least-squares as alternative estimation methods. Research limitations/implications The study lumps the effects of all other external and internal factors, including internal energy security elements, in the autoregressive conditional heteroscedasticity (ARCH) term to predict NASDAQ clean energy returns conditional variance. GARCH method does not disentangle individual roles of the factors captured in the ARCH term in predicting volatility. Practical implications Results documented imply that natural gas appears a closer substitute for renewable energy sources than crude oil and coal, such that its price rise is perceived as good news in the NASDAQ clean energy financial market, while a fall is considered bad news. Furthermore, both an increase in carbon price and a decrease in green information technology stock performance are perceived as negative shocks. Social implications In assessing risks associated with clean energy stocks, investors and fund managers should carefully consider the effects of external energy security elements. Originality/value To the best of the author’s knowledge, the paper is the first to identify external energy security elements and examine their effects on clean energy stock volatility.

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Section: Energy Security Elements and Clean Energy Stock Returns/vola...mentioning

confidence: 91%

External energy security elements and the riskiness of clean energy stocks: a volatility analysis

Hassan¹

2023

SAMPJ

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“…Furthermore, Reboredo et al. (2017, 2019) pointed out a significant correlation between the price of oil and the stock prices, including clean energy, renewable energy and low-carbon industries. For the green bond market, Pham (2016) explored the influence of the traditional bond market on the fluctuation of the green bond market and revealed that the overall influence of the traditional bond market tended to spread to the green bond market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…For example, for the green stock market, Reboredo (2015) and Dutta (2017) found that the fluctuation of crude oil prices would increase the systemic risk of renewable energy companies' stock prices. Furthermore, Reboredo et al (2017Reboredo et al ( , 2019 pointed out a significant correlation between the price of oil and the stock prices, including clean energy, renewable energy and low-carbon industries. For the green bond market, Pham (2016) explored the influence of the traditional bond market on the fluctuation of the green bond market and revealed that the overall influence of the traditional bond market tended to spread to the green bond market.…”

Section: Literature Reviewmentioning

confidence: 99%

The dynamic interaction between investor attention and green security market: an empirical study based on Baidu index

Gao

Wang

2021

CFRI

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PurposeThis paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.Design/methodology/approachThis study takes the Baidu index of “green finance” as the proxy for investor attention and constructs several generalized prediction error variance decomposition models to investigate the interdependence. It further analyzes the dynamic interaction between investor attention and the return and volatility of green security markets using the rolling time window.FindingsThe empirical analysis and robustness test results reveal that the spillovers between investor attention and the return and volatility of the green bond market are relatively stable. In contrast, the spillover level between investor attention and the green stock market displays significant time-varying and asymmetric effects. Moreover, the volatility spillover between investor attention and green securities is vulnerable to major financial events, while the return spillover is extremely sensitive to market performance.Originality/valueThe conclusion further expands the practical application and theoretical framework of behavioral finance in green finance and provides a new reference for investors and regulators. Besides, this study also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management in green securities.

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“…The work in [3] presents a high-level overview of the integration of RES into the electric power system in Croatia, focusing on grid connections, power balancing, inertia reduction aspects and market participation. The market impact of RES is also debated in [4], where the case of wind plants coupled with pumped hydro energy storage is examined using various optimization algorithms, and in [5], dealing with the interdependence between renewable energy and low-carbon stock prices. The study in [6] discusses the impact of RES on power system flexibility, and, similarly, the study in [7] contains a techno-economic analysis of the application of energy storage systems on wind farms to provide short-term ancillary services such as inertia response and frequency support.…”

Section: Introductionmentioning

confidence: 99%

An Original Control Strategy of Storage Systems for the Frequency Stability of Autonomous Grids with Renewable Power Generation

et al. 2021

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This work examines the operation of the autonomous power system of a geographical island assuming the integration of significant generation shares from renewable energy sources and the installation of the required storage systems. The frequency stability of the system is investigated considering different operating conditions, in terms of load demand and renewable power generation. The main focus of the work is an original control strategy specifically designed for power converters interfacing storage units to the grid. The proposed strategy is based on an extended frequency droop control, which selects specific droop settings depending on the operating mode—charge or discharge—of the storage unit. A simulation model of the whole electrical system is developed for dynamic analysis. The model also implements the possibility of including specific auxiliary frequency controls for synthetic inertia and primary reserve. The results of the simulation and analysis indicate that the proposed control strategy has a significant positive effect, making the storage units able to provide a fundamental and more effective support to the frequency stability of the system. The application of the proposed control strategy to storage units also reduces the need for a contribution to the frequency control from intermittent and variable sources, making the whole system more robust, stable and reliable.

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Interdependence Between Renewable-Energy and Low-Carbon Stock Prices

Cited by 15 publications

References 31 publications

External energy security elements and the riskiness of clean energy stocks: a volatility analysis

External energy security elements and the riskiness of clean energy stocks: a volatility analysis

The dynamic interaction between investor attention and green security market: an empirical study based on Baidu index

An Original Control Strategy of Storage Systems for the Frequency Stability of Autonomous Grids with Renewable Power Generation

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