- Title
- Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes
- Creator
- Uddin, Gazi Salah; Rahman, Md Lutfur; Hedström, Axel; Ahmed, Ali
- Relation
- Energy Economics Vol. 80, p. 743-759
- Publisher Link
- http://dx.doi.org/10.1016/j.eneco.2019.02.014
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2019
- Description
- We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. Applying a recently developed cross-quantilogram approach, we provide two novel findings. First, although prior studies show that RE stock returns have a positive dependence on changes in oil prices and in the aggregate stock index, we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags. Second, while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns, we report that this positive influence on RE stock returns is observed only during extreme market conditions. These results are robust, (i) even after controlling for economic policy and equity market uncertainties, as well as (ii) in both a time-static full sample and recursive subsamples.
- Subject
- renewable energy stock price; oil; exchange rate; gold; cross-quantilogram; SDG 7; SDG 13; Sustainable Development Goals
- Identifier
- http://hdl.handle.net/1959.13/1403166
- Identifier
- uon:35118
- Identifier
- ISSN:0140-9883
- Rights
- © 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/.
- Language
- eng
- Full Text
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Goal 7: Ensure access to affordable, reliable, sustainable and modern energy
Goal 13: Climate Change
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