Uncertainty and Stock Returns in Energy Markets: A Quantile Regression Approach

Samir Cedic, Alwan Mahmoud, Matteo Manera () and Gazi Salah Uddin
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Samir Cedic: Linköping University
Alwan Mahmoud: Linköping University
Gazi Salah Uddin: Linköping University

No 2021.11, Working Papers from Fondazione Eni Enrico Mattei

Abstract: The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d’Orey (1987; 1994) to assess which uncertainties are the potential drivers of stock returns under different market conditions. We find that the bioenergy and the oil & gas sectors are most sensitive to uncertainties. Both sectors are affected by financial, euro currency, geopolitical and economic policy uncertainties. Our results have several policy implications. Climate policy makers can prioritize policies that support bioenergy in order to reduce the potentially negative effects of uncertainties on bioenergy investment. Investors aiming to diversify their portfolio should be aware that many uncertainties are common drivers of bioenergy and oil & gas returns, the connectedness between assets of these energy types could therefore increase when uncertainty increases.

Keywords: Uncertainty; Macroeconomic Conditions; Renewable Energy; Stock Returns; Quantile Regression (search for similar items in EconPapers)
JEL-codes: C1 G15 Q2 Q3 Q43 (search for similar items in EconPapers)
Date: 2021-04
New Economics Papers: this item is included in nep-cwa, nep-ene and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Uncertainty and Stock Returns in Energy Markets: A Quantile Regression Approach (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2021.11

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