On the dynamic dependence and investment performance of crude oil and clean energy stocks |
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Institution: | 1. Department of Economics, Curtin University of Technology, Perth, Australia;2. School of Finance, Operations Management and International Business, University of Tulsa United States;3. Department of Applied Finance and Actuarial Studies, Macquarie University, Sydney, Australia;1. School of Economics & Management, Southwest Jiao Tong University, China;2. School of Finance, Southwestern University of Finance and Economics, China;1. Department of Economics,Universidade de Santiago de Compostela, Avda. Xoán XXIII s/n, Santiago de Compostela 15782, Spain;2. Post Graduate Programme in Management — PPGA, Unifacs, Rua Dr. José Peroba 251, 41770-235 Salvador, Brazil;3. Dipartimento di Statistica, Informatica, Applicazioni “G. Parenti”, Universitá di Firenze, Firenze, Italy |
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Abstract: | This paper examines the directional spillover between crude oil prices and stock prices of technology and clean energy companies. The study uses the daily data over the period from May 2005 to April 2015. The estimated results exhibit following empirical regularities. First, it appears that technology stocks play vital role in the return and volatility spillovers of renewable energy stocks and crude oil prices. Second, technology (PSE) and clean energy indices (ECO) are the dominant emitters of return and volatility spillovers to the crude oil (WTI) prices. Third, the time and event-dependent movements are well captured by the directional spillover approach. Fourth, the application of directional spillover method seems to be more advantageous than MGARCH models as it not only establishes the inter-variables return and volatility spillovers but also helps in identifying direction of spillover through calculation of pairwise net spillovers. Last, the dynamic hedging results suggest that clean energy index can provide a profitable hedging opportunity in combination with crude oil futures than technology index. Many new findings further discussed and analysed. |
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Keywords: | Clean energy stocks Multivariate GARCH Directional spillover Oil prices |
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