The Relationship Between Oil Prices and Stock Prices of the European Renewable Energy Companies: A Vector Autoregressive Analysis

Slatina Enis (), Lazović-Pita Lejla (), Abdić Ademir () and Abdić Adem ()
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Slatina Enis: MA Student, University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH
Lazović-Pita Lejla: University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH
Abdić Ademir: University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH
Abdić Adem: University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH

Naše gospodarstvo/Our economy, 2023, vol. 69, issue 4, 1-11

Abstract: This article aims to examine the potential relationship between Brent crude oil futures prices and the index of the European renewable energy companies. After the overview of the European legislation and the most recent literature review on the topic, the article deploys a method of the Vector Autoregressive Model (VAR). The analysis includes weekly data over eight years (2015-2022). Our results indicate a positive correlation between Brent crude oil futures prices and the value of the European Renewable Energy Total Return (ERIX) index. The estimated bivariate VAR model indicates a statistically significant relationship, meaning that past values of the ERIX Index may be used to predict future Brent crude oil prices in the long run. Considering the most recent systemic disturbance in the world’s commodity market, future research should consider longer time series and possible relationships of other macroeconomic factors.

Keywords: Renewable energy; Brent crude oil; Futures prices; ERIX index; VAR (search for similar items in EconPapers)
JEL-codes: Q42 Q43 Q48 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ngooec:v:69:y:2023:i:4:p:1-11:n:2

DOI: 10.2478/ngoe-2023-0019

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