The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach

Juan Reboredo and Andrea Ugolini

Energy Economics, 2018, vol. 76, issue C, 136-152

Abstract: We assess the impact of quantile price movements in oil, gas, coal and electricity on the quantiles of clean energy stock returns using a multivariate vine-copula dependence setup. For the period 2009–2016, our evidence shows that oil and electricity prices were major contributors to the dynamics of clean energy stock returns in the USA and the EU, respectively, whereas the other energy prices played a minor role in shaping clean energy stock returns. Furthermore, we find evidence of a symmetric energy price impact, so extreme upward and downward energy price movements had a similar impact on clean energy stock returns. This evidence has potential implications for risk management decision making by energy investors and for policy maker decisions regarding support for clean energy deployment.

Keywords: Energy prices; Clean energy stock price returns; Copulas (search for similar items in EconPapers)
JEL-codes: C58 Q10 Q42 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (100)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:76:y:2018:i:c:p:136-152

DOI: 10.1016/j.eneco.2018.10.012

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