EconPapers    
Economics at your fingertips  
 

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

Román Ferrer, Syed Jawad Hussain Shahzad (), Raquel López and Francisco Jareño ()

Energy Economics, 2018, vol. 76, issue C, 1-20

Abstract: This paper examines the time and frequency dynamics of connectedness among stock prices of U.S. clean energy companies, crude oil prices and a number of key financial variables using the methodology developed by Barunik and Krehlik (2018). This approach allows measuring the dynamics of return and volatility connectedness over time and across frequencies simultaneously. The empirical results show that most of return and volatility connectedness is generated in the very short-term, i.e. movements up to five days, while the long-term plays a minor role. Our analysis further reveals a greater degree of interconnectedness across crude oil and financial markets since the onset of the U.S. subprime mortgage crisis in summer of 2007, consistent with the view of a global re-pricing of risk triggered by the recent worldwide financial crisis. Crude oil prices do not appear as a key driver of the stock market performance of renewable energy companies in the short-term or the long-term, which suggests a decoupling of the alternative energy industry from the traditional energy market. Moreover, crude oil prices are a net receiver of financial shocks, supporting the financialization of the commodity markets since the early 2000s. In addition, a significant pairwise connectedness is found, mainly in the short-term, between clean energy and technology stock prices, indicating that these two types of stocks are perceived by investors as similar assets. These results can have important practical implications for investors and policy makers with different time horizons.

Keywords: Connectedness; Renewable energy stocks; Crude oil price; Information transmission; Time-frequency space (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988318303943
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-08
Handle: RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20