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Measuring risk spillovers between oil and clean energy stocks: evidence from a systematic framework

journal contribution
posted on 11.11.2021, 10:33 by Xueping Tan, Yong Geng, Andrew VivianAndrew Vivian, Xinyu Wang
Increasing concern about the challenges of climate change has triggered rapid growth of private investment into clean energy sectors. Currently, the uncertain global economic environment makes the risk spillovers in the “Oil-Clean energy stocks” system a vital topic to explore. Using a systematic framework involving both Spillover index and Multivariate quantile models, this paper aims at revealing the heterogeneous risk transmission mechanisms between WTI oil futures and 12 clean energy stock indexes over the period of October 2010 to August 2020 from a systematic perspective by considering both regular and extreme conditions. We find asymmetric and time-varying features in the connections between oil and clean energy. The main findings include: (1) responses of extreme downside risks are substantially intensified compared to normal and upside risks; (2) the (downside) VaR response of oil to shocks of clean energy stocks is greater when the oil price is low; (3) the (downside) VaR response of clean energy to oil shocks is heterogeneous especially when the oil price is low. We also find that oil market is a net volatility receiver from clean energy sector overall and especially from the Advanced material and Energy efficiency groups. However, oil is a risk trigger for the Renewable energy group. These findings have significant and abundant implications for investors, portfolio managers, and policymakers to inform their decision-making and promote clean energy investment

Funding

Fundamental Research Funds for the Central Universities” [grant number 2020SK01]

History

School

  • Business and Economics

Department

  • Business

Published in

Resources Policy

Volume

74

Publisher

Elsevier

Version

AM (Accepted Manuscript)

Rights holder

© Elsevier

Publisher statement

This paper was accepted for publication in the journal Resources Policy and the definitive published version is available at https://doi.org/10.1016/j.resourpol.2021.102406

Acceptance date

05/10/2021

Publication date

2021-10-20

Copyright date

2021

ISSN

0301-4207

Language

en

Depositor

Prof Andrew Vivian. Deposit date: 14 October 2021

Article number

102406