Does the price of oil interact with clean energy prices in the stock market?
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Description
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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| ID Code: | 75378 |
|---|---|
| Item Type: | Contribution to Journal (Journal Article) |
| Refereed: | Yes |
| Measurements or Duration: | 9 pages |
| Keywords: | Clean energy, Markov-switching VAR, Oil price, Stock prices |
| DOI: | 10.1016/j.japwor.2013.03.003 |
| ISSN: | 0922-1425 |
| Pure ID: | 32592005 |
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
| Copyright Owner: | Consult author(s) regarding copyright matters |
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au |
| Deposited On: | 21 Aug 2014 06:47 |
| Last Modified: | 07 Aug 2024 09:41 |
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