 The Impact of Market Uncertainty on the Systematic Risk of Clean Energy StocksPerry Sadorsky ()
Chapter Chapter 7 in Applications in Energy Finance, 2022, pp 171-193 from Springer Abstract: Abstract As investing in clean energy equities grows, a better understanding of the impact of market uncertainty on clean energy systematic risk is required because the systematic risk is used to estimate the cost of capital and to formulate investment strategies. The focus of this paper is to use multivariate GARCH models (ADCC, GO-GARCH) to calculate time-varying conditional clean energy equity betas and to study the impact that market uncertainty (stock market, oil market, technology stock market), measured using implied volatility, has on clean energy equity betas. The clean energy equity beta values show considerable time variation. Evidence is presented to show that implied volatility does have a significant impact on clean energy equity beta. This result is consistent with a mean reversion response of beta to increases in market volatility and is robust to the choice of GARCH model used to estimate beta. Keywords: Clean energy stocks; Systematic risk; GARCH; Implied volatility; C1; Q4; G1 (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-92957-2_7 Ordering information: This item can be ordered from DOI: 10.1007/978-3-030-92957-2_7 Access Statistics for this chapter More chapters in Springer Books from Springer |
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