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

Managi, Shunsuke & Okimoto, Tatsuyoshi (2013) Does the price of oil interact with clean energy prices in the stock market? Japan and the World Economy, 27, pp. 1-9.

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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. © 2013 Elsevier B.V.

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7 citations in Web of Science®

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ID Code: 75378
Item Type: Journal Article
Refereed: Yes
Keywords: Clean energy; Markov-switching VAR; Oil price; Stock prices
DOI: 10.1016/j.japwor.2013.03.003
ISSN: 09221425
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Elsevier
Deposited On: 21 Aug 2014 06:47
Last Modified: 22 Aug 2014 03:23

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