Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis

Date

2019-11-01

Author

Kocaarslan, Baris
Soytaş, Uğur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

223
views

0
downloads

There is an ongoing debate on how oil prices affect the stock prices of clean energy companies. We contribute to this debate by questioning the possibility of asymmetric linkages between oil prices, interest rates, and the stock prices of clean energy and technology firms. Using a recently developed approach (nonlinear auto-regressive distributed lag (NARDL) model), we document that ignoring the presence of nonlinearities leads to misleading results. The analyses reveal significant asymmetric effects among the variables of interest. Our findings suggest that the impacts of positive and negative changes in the oil prices, interest rates and technology stock prices on clean energy stock prices substantially vary in the short-and long-run. More specifically, our results point out that the increased investments in clean energy stocks appear to be due to speculative attacks along with an increase in oil prices in the short-run. But, in the long-run, the increased oil price has a negative impact on clean energy stock prices and this impact is asymmetric. Last but not least, the results also emphasize the importance of business cycle fluctuations for the clean energy stock performance in the long-run. The implications of this paper are noteworthy for energy economists, policymakers, and investors in the energy and financial markets.

Subject Keywords

Asymmetries, Clean energy, Nonlinear ARDL (NARDL), Oil prices, Stock prices

URI

https://hdl.handle.net/11511/32839

Journal

Energy Reports

DOI

https://doi.org/10.1016/j.egyr.2019.01.002

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) KOCAARSLAN, BARIŞ; Soytaş, Uğur (2019-10-01) There is increased interest in the dynamic relationships between the stock prices of clean energy and technology firms and oil prices in the literature. Existing works suggest a time-dependent link between them, but there is a gap of knowledge regarding the drivers of this time-dependent relationship. To contribute to this literature, we first identify dynamic conditional correlations (DCCs) between the prices of clean energy and technology stocks and oil prices to investigate the nature of these dynamic co...
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets Kaltalıoğlu, Müge; Soytaş, Uğur (2011-05-01) The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008.The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover f...
The impact of crude oil prices on financial market indicators: copula approach Kayalar, Derya Ezgi; KÜÇÜKÖZMEN, CUMHUR ÇOŞKUN; Kestel, Sevtap Ayşe (2017-01-01) Oil price changes have varying impacts on the financial indicators of global markets and economies. This study aims to explore the dependence structure between crude oil prices and stock market indices, as well as the exchange rates in a number of economies categorized with respect to their status as developing/emerging markets, and oil importer/exporter countries. Dependence structures in this study are evaluated in considerable depth using copula models. The broad time period covered allows the investigat...
Optimum daily operation of a wind-hydro hybrid system Ercan, Eray; Kentel Erdoğan, Elçin (2022-06-01) © 2022 Elsevier LtdDue to the negative effects of fossil fuels on the environment and health, energy supply is shifting towards renewables. The integration of renewable energy systems is challenging due to the intermittent nature of renewables, however this can be mitigated through storage. Uncertainty in electricity prices in spot markets further complicates the operation of these systems. Pumped storage hydropower is currently the most viable form of large-scale energy storage, and operation of renewable ...
The relationship between stock returns crude oil prices interest rates and output evidence from a developing economy Sarı, Ramazan; Soytaş, Uğur (2006-07-01) In this paper we investigate the impact of oil price shocks on the macroeconomy of a developing country, Turkey. In the literature, a number of studies examine the affects of the innovations in oil prices in developed countries. Their results suggest that the oil price changes are important factors in explaining the variation in GDP, inflation, employment, and real stock returns. Only recently, the same effect has been investigated for developing countries. To the extent of our knowledge, no study has exam...

Citation Formats

B. Kocaarslan and U. Soytaş, “Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis,” Energy Reports, pp. 117–125, 2019, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/32839.