Uncertainty and Stock Returns in Energy Markets: A Quantile Regression Approach

Samir Cedic, Alwan Mahmoud, Matteo Manera () and Gazi Salah Uddin

No 310388, FEEM Working Papers from Fondazione Eni Enrico Mattei (FEEM)

Abstract: The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d’Orey (1987; 1994) to assess which uncertainties are the potential drivers of stock returns under different market conditions. We find that the bioenergy and the oil & gas sectors are most sensitive to uncertainties. Both sectors are affected by financial, euro currency, geopolitical and economic policy uncertainties. Our results have several policy implications. Climate policy makers can prioritize policies that support bioenergy in order to reduce the potentially negative effects of uncertainties on bioenergy investment. Investors aiming to diversify their portfolio should be aware that many uncertainties are common drivers of bioenergy and oil & gas returns, the connectedness between assets of these energy types could therefore increase when uncertainty increases.

Keywords: Resource/Energy; Economics; and; Policy (search for similar items in EconPapers)
Pages: 27
Date: 2021-04-08
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (1)

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https://ageconsearch.umn.edu/record/310388/files/NDL2021-011.pdf (application/pdf)

Related works:
Working Paper: Uncertainty and Stock Returns in Energy Markets: A Quantile Regression Approach (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:feemwp:310388

DOI: 10.22004/ag.econ.310388

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