Effect of oil price uncertainty on clean energy metal stocks in China: Evidence from a nonparametric causality-in-quantiles approach

Liuguo Shao, Hua Zhang, Jinyu Chen and Xuehong Zhu

International Review of Economics & Finance, 2021, vol. 73, issue C, 407-419

Abstract: Using the nonparametric causality-in-quantiles approach, we investigate the causal effects of oil price uncertainty on the returns and volatility of clean energy metal stocks under different market conditions in China. The results suggest that there is a causal relationship between oil price uncertainty and the returns and volatility of Chinese clean energy metal stocks. The effect differs slightly between returns and volatility. Specifically, the causal effect of oil price uncertainty on returns is mainly observed for lower quantiles, whereas the effect on volatility exists for all quantiles. In addition, the effects of change of market environment in China on the causal relationship are tested. The results show that change in market environment has significantly weakened the causal relationship between oil price uncertainty and clean energy metal stocks, suggesting that the structure of the Chinese clean energy metal stock market has undergone major changes.

Keywords: Oil price uncertainty; Clean energy metal stocks; CBOE Crude oil volatility index; Nonparametric causality-in-quantiles approach; Change in market environment (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (35)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:73:y:2021:i:c:p:407-419

DOI: 10.1016/j.iref.2021.01.009

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