Does the price of oil interact with clean energy prices in the stock market?

Shunsuke Managi, Shunsuke Managi and Tatsuyoshi Okimoto
Authors registered in the RePEc Author Service: Shunsuke Managi

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices, endogenously controlling for structural changes in the market. To this end, we apply Markov-switching vector autoregressive models to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The results indicate that there was a structural change in late 2007, a period in which there was a significant increase in the price of oil. In contrast to the previous studies, we find a positive relationship between oil prices and clean energy prices after structural breaks. There also appears to be a similarity in terms of the market response to both clean energy stock prices and technology stock prices.

Keywords: clean energy; stock prices; oil price; Markov-switching VAR (search for similar items in EconPapers)
JEL-codes: Q4 Q41 Q47 (search for similar items in EconPapers)
Date: 2013-04
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (196)

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Journal Article: Does the price of oil interact with clean energy prices in the stock market? (2013)
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