 The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspectiveHao Zhang, Guixin Cai and Dongxiao Yang Energy, 2020, vol. 196, issue C Abstract: We use the wavelet-based quantile-on-quantile and Granger causality-in-quantiles methods to document the impact of exogenous oil price structural shocks on clean energy stocks. We find that the effects vary across quantiles and investment horizons and are asymmetric at higher quantiles of oil shocks in the long run. As for the oil supply shock, the impact on clean energy in the short and long term is strong. Furthermore, it is observed that in the middle term, the effects of the oil aggregate demand shocks are quite positive at higher and lower quantiles of clean energy stocks. In the long run, the impact of the oil specific demand shocks on stocks is asymmetric at the higher quantiles (bullish) of the stock market. In addition, the trend of Granger causal relationship in both the mean and the variance is quite similar from lower quantiles to higher quantiles and we find the evidence of strong predictability of the oil price shocks for the stocks in the long run. Keywords: Oil price structural shocks; Clean energy stocks; Quantile-on-quantile; Causality-in-quantiles (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:196:y:2020:i:c:s0360544220302061 DOI: 10.1016/j.energy.2020.117099 Access Statistics for this article Energy is currently edited by Henrik Lund and Mark J. Kaiser More articles in Energy from Elsevier |
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