Oil Prices and Stock Prices of Alternative Energy Companies: Time Varying Relationship with Recent Evidence

Alex Huang (), Chiao-Ming Cheng, Wen-Cheng Hu and Chih-Chun Chen
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Chiao-Ming Cheng: Ph.D. Program, College of Management, Yuan Ze University, Taiwan
Wen-Cheng Hu: Ph.D. Program, College of Management, Yuan Ze University, Taiwan
Chih-Chun Chen: Department of Management, Fo Guang University, Taiwan

Journal of Economics and Management, 2012, vol. 8, issue 2, 221-258

Abstract: This paper examines the recent interactive relationships between the crude oil prices and stock performances of alternative energy companies. The examination was conducted from 2001 to mid-2010, and the sample period is divided into three sub-periods according to two Middle East wars. Different dynamics of oil prices across these sub-periods are significantly documented for the first time. In recent years, oil prices have become significantly responsible for the stock performances of alternative energy companies. This finding suggests that the stock market investors of the alternative energy sector have only recently incorporated oil price shocks into their trading decisions. The volatility spillover effect between oil prices and the stock index of the alternative energy sector has also been established in recent years. This latest evidence on the interaction between the two markets is shown for the first time in the literature and should be well used by market participants.

Keywords: crude oil price; alternative energy; oil stock index; VAR (search for similar items in EconPapers)
JEL-codes: G10 P28 Q43 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:jec:journl:v:8:y:2012:i:2:p:221-258

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