Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices

Ferrer, Román; Shahzad, Syed Jawad Hussain; Garcí­a, Raquel López; Jareño, Francisco

doi:10.1016/j.eneco.2018.09.022

Cited by 462 publications

(225 citation statements)

References 31 publications

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“…Thereafter, we compute the frequencies of 5 and 200 days to assess short and "restricted" long-term Kazakhstan connectedness with other emerging economies, oil price, and the VIX. This is identical to the oil markets' very representative example of Ferrer et al (2018). We also explained the approximation of the obtained volatility spillovers in Appendix I.…”

Section: Methodssupporting

confidence: 59%

The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

Semeyutin

Lau

et al. 2020

Finance Research Letters

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This study evaluated volatility spillovers among oil price, volatility index and a pool of the credit default swaps for emerging market economies. A special role was ascribed to the time-varying interdependencies and connectedness from the perspectives of Kazakhstan, an oil exporting country. The result shows that Kazakhstan may be more resistant to the volatility, which originated from the other emerging countries. However, Kazakhstan is more sensitive to the global "fear index barometer" of volatility index and oil price volatility. The results might be appealing for portfolio diversification strategies because Kazakhstan's credit default swaps are in the low oil dependency regime.

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Section: Methodssupporting

confidence: 59%

The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

Semeyutin

Lau

et al. 2020

Finance Research Letters

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“…These outcomes confirm the massive effect of the 2007-2008 financial crisis as well as later European sovereign debt crisis on return spillovers. These results confirm the prior prevalent opinion that connections between commodities and financial markets increase more during times of worse economic conditions (seeBhardwaj et al, 2015; Krehlik and Barunik, 2017;Li et al, 2016;Ferrer et al, 2018;Balli et al, 2019;Badshah et al, 2019). As the uncertainty in the market increases the flow of positive or negative information is processed in more details by investors which leads to raise interconnectedness.…”

supporting

confidence: 88%

“…Figure 6 shows the network graphs of the net pairwise directional connectedness across the seven variables. We divide the full sample into three sub-samples to research found a weak link among oil prices and clean energy (see Henriques and Sadorsky, 2008;Sadorsky 2012;Ahmad 2017;Ferrer et al, 2018). However, we find strong evidence there is a link between oil market and the clean energy.…”

Section: Pairwise Directional Return Connectednessmentioning

confidence: 88%

Time and Frequency Connectedness Among Oil Shocks, Electricity and Clean Energy Markets

et al. 2020

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This paper examines the time and frequency dynamics of connectedness between oil price shocks (demand and supply), and energy, electricity, carbon and clean energy markets using the methodology developed by Diebold and Yilmaz (2012) and Barunik and Krehlik (2018). The empirical findings show that there is time-varying connectedness among all variables in the sample. We find increased connectedness during the global financial crisis as well as in the shale oil revolution period. The total connectedness is more significant and higher in the short-term compared to the long-term. Net pairwise directional connectedness become more important during the shale oil revolution among oil supply, oil demand and clean energy index. The findings of the static full sample and sub-samples (GFC and SOR) provide significant evidence of the electricity futures as diversifier and safe-haven asset for oil shocks. These results can have important implications for investors and policymakers with different time horizons.

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“…Some studies have explored causality between oil prices and renewables, finding evidence of Granger causality that differs across sample periods and time horizons ( [2][3][4][5][6]). Other studies have examined oil price spillovers to renewable stocks, documenting significant impacts from oil price oscillations to renewable stock prices ( [7][8][9]), volatility spillovers between oil and clean-energy stocks ( [10][11][12]) and connectedness between clean energy stocks, oil prices and financial variables ( [13]). Likewise, a different set of articles have explored dynamic correlations between renewable energy and stock prices ( [14]) and the contribution of energy prices to renewable asset prices and volatility ( [15][16][17]).…”

Section: Introductionmentioning

confidence: 99%

Interdependence Between Renewable-Energy and Low-Carbon Stock Prices

2019

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In the transition to a low-carbon economy, climate-resilient investors may be inclined to buy renewable-energy or other low-carbon assets. As the diversification benefits of investment positions in those assets depend on interdependence between their market prices, we explore that interdependence in the European and USA stock markets. We model the dependence structure using bivariate copula functions and evaluate price spillovers between those markets using a conditional quantile dependence approach that accounts for the reciprocal effects of price movements in those markets under normal and extreme market scenarios. Our empirical evidence for the period 2010–2019 indicates that European renewable-energy and low-carbon stocks co-move; upward and downward movements in low-carbon asset prices have sizeable effects on renewable-energy asset prices, and vice versa, although effects are smaller. In contrast, for the USA we find evidence of non-interdependence, with no significant upward or downward price spillover effects between renewable-energy and low-carbon stocks. Our empirical findings provide useful insights for the design of carbon-resilient portfolios and risk management strategies, and also for implementation of public funding policies to support the transition to a low-carbon economy.

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Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices

Cited by 462 publications

References 31 publications

The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

Time and Frequency Connectedness Among Oil Shocks, Electricity and Clean Energy Markets

Interdependence Between Renewable-Energy and Low-Carbon Stock Prices

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