oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

impacts of oil implied volatility shocks on stock implied volatility in china empirical evidence from a quantile regression approach abstract this paper investigates the impacts of changes in the implied volatility index of the oil market ovx on the changes in the implied volatility index of the chinese stock market vxfxi a quantile regression approach is applied to our empirical analysis as this approach can perform a more detailed investigation under different market conditions moreover we test whether the vxfxi changes would respond with lags and asymmetry to the ovx changes our empirical results show that the impacts of the ovx changes on the vxfxi changes are positive and tend to be stronger in bearish markets furthermore the results of testing lagged effects reveal that strong linkages between the two variables are transient in different market conditions which don t support the gradual information diffusion hypothesis very well finally we find that the ovx changes can asymmetrically affect the vxfxi changes specifically the negative ovx changes have stronger effects under bullish market conditions while the positive ovx changes play a more important role during bearish periods

volatility spillovers between oil prices and stock sector returns implications for portfolio management abstract in this article we take a recent generalized var garch approach to examine the extent of volatility transmission between oil and stock markets in europe and the united states at the sector level the empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management we also analyze the optimal weights and hedge ratios for oil stock portfolio holdings with respect to the results our findings point to the existence of significant volatility spillover between oil and sector stock returns however the spillover is usually unidirectional from oil markets to stock markets in europe but bidirectional in the united states our back testing procedures finally suggest that taking the cross market volatility spillovers estimated from the var garch models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the ccc garch of bollerslev 1990 the diagonal bekk garch of engle and kroner 1995 and the dcc garch of engle 2002

economic surprises and the behaviour of asset prices some analyses and further empirical results this paper examines the implications of serial correlation in asset prices for market efficiency and announcement effect tests the impact of four types of economic surprise is examined after allowing for observed serial correlation in three asset price series

modeling and forecasting the volatility of carbon emission market the role of outliers time varying jumps and oil price risk abstract the objectives of this study are three fold first we aim to assess whether outliers or extreme observations occur in the european union allowance eua data second we examine if time varying jumps are present in the carbon emission market third we use the crude oil volatility index ovx to investigate the effect of oil market uncertainty on the emission price volatility in order to detect the possible outliers in the eua market we employ a standard methodology proposed by ane et al 2008 and identify several outliers in the emission data after spotting and then removing those extreme points we apply the garch jump models to both original and outlier free observations the results of the jump model show that while time varying jumps do exist in the uncorrected data most of the jump parameters however become insignificant in case of outlier free observations next the application of an extended egarch model in which ovx is introduced in the garch specification demonstrates that emission prices are highly sensitive to oil market implied volatility and that the impact of ovx on the eua market appears to be asymmetric additionally the use of forecast encompassing test documents that considering the outlier free data and using the information content of ovx would improve the volatility forecasts for the carbon emission market the results of our research carry important implications for both investors and policymakers

how do the stock prices of new energy and fossil fuel companies correlate evidence from china abstract this study documents the return and volatility spillover effect between the stock prices of chinese new energy and fossil fuel companies using the asymmetric bekk model based on daily samples taken from august 30 2006 to september 11 2012 the dynamics of new energy fossil fuel stock spillover are found to be significant and asymmetric compared with positive news negative news about new energy and fossil fuel stock returns leads to larger return changes in their counter assets news about both new energy and fossil fuel stock returns spills over into variances of their counter assets and the volatility spillovers depend complexly on the respective signs of the return shocks of each asset the empirical results demonstrate that new energy and fossil fuel stocks are generally viewed as competing assets that positive news about new energy stocks could affect the attractiveness of fossil fuel stocks and that new energy stock investment is more speculative and riskier than fossil fuel stock investment these results have potential implications for asset allocation financial risk management and energy policymaking

dynamic connectedness between oil prices and stock returns of clean energy and technology companies abstract this study employs wavelet coherency phase differences and spillover analysis to examine the dynamic connectedness between oil prices and stock returns of clean energy and technology companies multivariate generalised auto regressive conditional heteroscedasticity models are used to examine the conditional correlations hedging performance and to make a portfolio strategy the wavelet coherency analysis shows a weak degree of association between oil prices and clean energy stock returns and between oil prices and technology companies stock returns in time and frequency scales the phase differences study shows that all series move cyclically with technology stock returns leading oil prices and stock returns of clean energy companies furthermore the volatility spillovers findings reveal that the overall connectedness of the system is 0 43 while the degree of connectedness is greater at lower frequencies 1 4 days than at higher frequencies more than 4 days the results also suggest that the volatility is transmitted from technology companies to oil and clean energy markets at all frequencies and over the whole period policy implications and hedging and portfolio options are discussed

the directional volatility connectedness between crude oil and equity markets new evidence from implied volatility indexes in this paper we use a set of newly introduced implied volatility indexes to investigate the directional connectedness between oil and equities in eleven major stock exchanges around the globe from 2008 to 2015 the inference on the oil equity implied volatility relationships depends on diebold and yilmaz 2012 2014 2015 who proposed a set of directional measures that enable the dynamic and directional characterization of the relationships among financial variables we find uniform results across the sample countries indicating that the connectedness between oil and equity is established by the bi directional information spillovers between the two markets however we find that the bulk of association is largely dominated by the transmissions from the oil market to equity markets and not the other way around the pattern of transmissions is varying over the sample period however most of the linkages between oil and equities are established from the mid of 2009 to the mid of 2012 which is a period that witnessed the start of global recovery

impact of food price volatility on the us restaurant sector although fluctuations in agricultural commodity prices appear to be a source of risk to the us restaurant sector the effect that volatility of food price has on the performance returns of that s

deutsche mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies this paper provides a detailed characterization of the volatility in the deutsche mark dollar foreign exchange market using an annual sample of five minute returns the approach captures the intraday activity patterns the macroeconomic announcements and the volatility persistence arch known from daily returns the different features are separately quantified and shown to account for a substantial fraction of return variability both at the intraday and daily level the implications of the results for the interpretation of the fundamental driving forces behind the volatility process is also discussed the efficient market hypothesis contends that financial asset prices provide rational assessments of fundamental values and future payoffs by implication price changes should reflect the arrival and processing of all relevant new information however the proportion of return variability that can be ascribed to public news announcements is low for example cutler poterba and summers 1989 find that even the largest daily price changes in the stock market generally cannot be associated with any significant economic news 1 moreover proxies for the flow of public information e g the number of news items released by reuter s news service berry and hiowe 1994 or dow jones company mitchell and mulherin 1994 explain little of the overall variation thus if private information is ruled out proponents of rational price formation have to assert the existence of important news items

the dynamic dependence of fossil energy investor sentiment and renewable energy stock markets abstract this study investigates the dynamic directional information spillover of return and volatility between the fossil energy market investor sentiment towards renewable energy and the renewable energy stock market using the connectedness network approach empirical results show that the spillover effects of the volatility system are generally stronger than that of the return system which suggest that risk transmission among the markets is more obvious in both systems the impact of the fossil energy market especially crude oil on the renewable energy stock market is greater than the impact of investor sentiment on the renewable energy stock market this finding shows that the renewable energy stock market is closely related to the fossil energy market furthermore the rolling window approach is adopted to examine the time varying information spillover among them the dynamic findings suggest that investor sentiment towards renewable energy can explain the return and volatility of renewable energy stock to a certain degree

assessment and optimization of clean energy equity risks and commodity price volatility indexes implications for sustainability abstract although clean energy equities have emerged as a new asset class for market participants especially environmentally concerned investors existing and previous studies pay very little attention to how equity investors in clean energy markets can reduce their downside risk the authors of this paper address this void by considering the roles of the commodity market volatility indexes of crude oil gold and silver the results of the dynamic conditional correlation model show that commodity volatilities and clean energy equity prices move in opposite directions based on the hedging effectiveness each of the three volatility indexes acts as an effective tool for reducing the risk of clean energy equity indexes the implied volatility index of crude oil is the most effective tool followed by that of gold and silver further analysis indicates the robustness of the results to the application of an asymmetric conditional correlation model the findings extend the limited understanding of how to hedge the downside risk of clean energy stock indexes and provide useful implications to market participants on the ability of implied volatility indexes of major commodities to hedge that risk

do green investments react to oil price shocks implications for sustainable development abstract this study investigates whether green investments are connected to oil price shocks while earlier papers mainly investigate the linkage between clean energy stock and crude oil prices we consider recently introduced environmental indexes consisting of companies that use eco friendly production processes and develop green infrastructures using the markov regime switching regression approach we observe that the effect of crude oil prices on environmental investments appears to be statistically insignificant albeit positive in most of the cases one possible reason behind such a finding is that the oil dependence is limited to the case of eco friendly firms the results further indicate switching between low and high volatility regimes implying that there exist high and low volatility states for green assets given that growing concerns about climate change and energy security would inspire market participants shift towards ethical investments our results could be of interest to investors aiming at decarbonizing their portfolios by including more environmental assets one important finding of our empirical analysis is that green assets are found to be more susceptible to oil market volatility rather than to oil price fluctuations this is a novel finding given that prior literature focusing on the association of oil sectors and green assets mainly consider the information on oil prices rather than oil volatility hence our study aims to conceal an important void in the exiting literature

oil shocks and their impact on energy related stocks in china abstract this paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in china after conditioning for structural instability the results show a much stronger relation following the 2008 financial crisis we argue that this reflects the fact that investors in the chinese stock market especially for energy related stocks are more sensitive to the shocks in international crude oil market

labour market signalling and unemployment duration an empirical analysis using employer employee data we test the signalling hypothesis using detailed flow based employer employee data from denmark our main findings are the signalling value is proportional to the proportion of employees dismissed from the workplace and the signal is uniform across occupation groups

how does the benefit effect vary as unemployment spells lengthen summary this paper investigates how the effect of income while unemployed on the probability of an individual leaving unemployment varies with the length of time that the individual has been unemployed we examine this question in the context of a variety of alternative econometric models we extend the proportional hazards model with unrestricted baseline hazard to one in which there are unrestricted effects of a subset of the explanatory variables and also consider models that can be estimated as series of binary response models the proportional hazard restrictions are rejected for the sample of british unemployed men analysed and in the binary sequence framework logit and probit models based on symmetric distributions dominate in likelihood terms the extreme value form model implied by extension of the proportional hazards formulation logit models with a flexible form for the duration dependence which also incorporate unobserved heterogeneity in a flexible way are estimated the results for all formulations indicate a rapidly declining effect of unemployment income as a spell lengthens with no significant effect for the long term unemployed the preferred specifications which allow for omitted heterogeneity indicate no significant effect after about 5 months and this result is robust to the inclusion or exclusion of previous labour market experience variables and to the choice of mixing distribution

asymmetric effects of oil price shocks on stock returns evidence from a two stage markov regime switching approach abstractthe asymmetric effects of oil price shocks on stock returns have attracted the attention of many researchers in the past several decades most of these researchers studies however do not separate out the sources of oil price shocks when examining the asymmetric effects in this article we address this limitation using a two stage markov regime switching approach our results indicate that oil supply and demand shocks have a null or minimal impact on stock returns in a low volatility regime and a statistically significant impact in a high volatility regime we observe that oil demand shocks affect stock returns significantly more than oil supply shocks a positive aggregate demand shock significantly increases stock returns whereas a positive oil specific demand shock markedly decreases stock returns these results have important implications for policymakers and investors

asymmetric and extreme influence of energy price changes on renewable energy stock performance abstract promoting the development of renewable energy has become the key factor to solve the problems of energy and climate change issues however its development is largely constrained by the prices of traditional fossil energy this paper explores the influence of various fossil energy price changes on renewable energy stock returns using a network approach specifically a positive and negative returns network and value at risk var network are constructed separately for identifying the asymmetric and extreme information spillover our findings show the fossil energy renewable energy network system has a relatively high level of interdependence the electricity market behaves as the major contributor to the changes of renewable energy returns in the returns connectedness network while oil and coal contribute most to the changes of renewable energy returns in the var connectedness network the dynamic results show that the contributions of fossil energy price changes to renewable energy returns have strong time varying pattern with high volatility over time the total connectedness in the positive returns network is slightly stronger than that in the negative returns network for most of the time during our sample period

wavelet based test of co movement and causality between oil and renewable energy stock prices abstract we studied co movement and causality between oil and renewable energy stock prices using continuous and discrete wavelets firstly to obtain information on dynamic correlations over time and for different time scales from wavelet coherence and secondly to obtain information on linear and non linear granger causality in the time frequency domain for general and sectoral renewable energy indices for the period 2006 2015 our findings indicate that dependence between oil and renewable energy returns in the short run was weak but gradually strengthened towards the long run mainly for the period 2008 2012 our causality tests provide evidence against linear causality at higher frequencies and in favour of unidirectional and bidirectional linear causality at lower frequencies in contrast we found consistent evidence of non linear causality running from renewable energy indices to oil prices at different time horizons and mixed evidence of causality running from oil to renewable energy prices these results have potential implications for investors in terms of hedging and for policymakers in terms of policy support decisions regarding the development of renewable energy

modeling renewable energy company risk abstract the renewable energy sector is one of the fastest growing components of the energy industry and along with this increased demand for renewable energy there has been an increase in investing and financing activities the tradeoff between risk and return in the renewable energy sector is however precarious renewable energy companies are often among the riskiest types of companies to invest in and for this reason it is necessary to have a good understanding of the risk factors this paper uses a variable beta model to investigate the determinants of renewable energy company risk the empirical results show that company sales growth has a negative impact on company risk while oil price increases have a positive impact on company risk when oil price returns are positive and moderate increases in sales growth can offset the impact of oil price returns and this leads to lower systematic risk

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices abstract this paper examines the time and frequency dynamics of connectedness among stock prices of u s clean energy companies crude oil prices and a number of key financial variables using the methodology developed by barunik and krehlik 2018 this approach allows measuring the dynamics of return and volatility connectedness over time and across frequencies simultaneously the empirical results show that most of return and volatility connectedness is generated in the very short term i e movements up to five days while the long term plays a minor role our analysis further reveals a greater degree of interconnectedness across crude oil and financial markets since the onset of the u s subprime mortgage crisis in summer of 2007 consistent with the view of a global re pricing of risk triggered by the recent worldwide financial crisis crude oil prices do not appear as a key driver of the stock market performance of renewable energy companies in the short term or the long term which suggests a decoupling of the alternative energy industry from the traditional energy market moreover crude oil prices are a net receiver of financial shocks supporting the financialization of the commodity markets since the early 2000s in addition a significant pairwise connectedness is found mainly in the short term between clean energy and technology stock prices indicating that these two types of stocks are perceived by investors as similar assets these results can have important practical implications for investors and policy makers with different time horizons

oil price uncertainty and clean energy stock returns new evidence from crude oil volatility index abstract earlier studies evidence that oil price shocks have significant impacts on clean energy stock returns while the previous literature uses traditional oil price series to investigate such effects we aim to assess whether the variance of alternative energy stock returns can be explained using the information content of crude oil volatility index ovx an indicator of oil price uncertainty to serve our purpose we employ several measures to frame the realized volatility rv of alternative energy sector equity returns in particular we use three different range based rv estimators recommended by parkinson 1980 rogers and satchell 1991 and alizadeh et al 2002 respectively our findings reveal that clean energy stock market returns are highly sensitive to ovx shocks thus oil market uncertainty measured by ovx embodies a crucial role in modeling the volatility of renewable energy equity returns in addition we find a strong indication that ovx provides additional information beyond what is contained in the historical volatilities of equity returns we also document that the magnitude of the effect of ovx is much bigger than that of the realized variance of wti oil spot prices finally we find that the information content of crude oil volatility index improves the volatility forecasts for the clean energy equity market

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

variances of security price returns based on high low and closing prices in a recent paper garman and klass 1980 studied the problem of estimating capital asset price volatility parameters developing an idea first introduced by parkinson 1980 they argue that improved volatility measures can be obtained by taking into account the daily high low and opening prices in addition to the traditionally used closing prices this paper is concerned mainly with testing the empirical validity of different volatility estimators based on high low and closing prices

stock prices of clean energy firms oil and carbon markets a vector autoregressive analysis recent discussions of energy security and climate change have attracted significant attention to clean energy we hypothesize that rising prices of conventional energy and or placement of a price on carbon emissions would encourage investments in clean energy firms the data from three clean energy indices show that oil prices and technology stock prices separately affect the stock prices of clean energy firms however the data fail to demonstrate a significant relationship between carbon prices and the stock prices of the firms

impact of silver price uncertainty on solar energy firms abstract to the best of our knowledge we are the first to investigate if silver market uncertainty impacts the stock price performance of solar energy firms such investigation could be of vital importance to investors and policymakers given that silver is heavily utilized in photovoltaic pv process for producing solar energy methodologically we apply the garch jump process to estimate the effect of silver market uncertainty proxied by silver volatility index vxslv on the global solar energy stock indexes using a recent data set we document the following key findings first there exists a negative effect of vxslv on the equity indexes under study this result suggests that an upsurge in silver market volatility would create a chaos in the solar energy business second the impact of silver volatility index on renewable energy firms holds even when we control for the impact of oil price volatility ovx albeit ovx when compared to vxslv transmits higher risk to alternative energy stocks as evidenced by the magnitudes of the estimated parameters third the impact of silver market uncertainty appears to be symmetric implying that increases and decreases in vxslv would have a homogeneous impact on the solar energy stock returns we finally show that equity prices of solar energy firms are characterized by time varying jumps the implications of the results are discussed as well

the effect of global oil price shocks on china s metal markets this paper investigated the impacts of global oil price shocks on the whole metal market and two typical metal markets copper and aluminum we applied the autoregressive conditional jump intensity arji model combining with the generalized conditional heteroscedasticity grach method to describe the volatility process and jump behavior in the global oil market we separated the oil price shocks into positive and negative parts to analyze whether oil price volatility had symmetric impacts on china s metal markets we further used the likelihood ratio test to examine the symmetric effect of oil price shocks in addition we considered the jump behavior in oil prices as an input factor to investigate how china s metal markets are affected when jumps occur in the global oil market in contrast to the existing research paying little attention to this issue our results indicate that crude oil price shocks have significant impacts on china s metal markets and the impacts are symmetric when compared with aluminum copper is more easily affected by oil price shocks

cross quantilogram based correlation and dependence between renewable energy stock and other asset classes abstract we study the cross quantile dependence of renewable energy re stock returns on aggregate stock returns changes in oil and gold prices and exchange rates applying a recently developed cross quantilogram approach we provide two novel findings first although prior studies show that re stock returns have a positive dependence on changes in oil prices and in the aggregate stock index we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags second while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns we report that this positive influence on re stock returns is observed only during extreme market conditions these results are robust i even after controlling for economic policy and equity market uncertainties as well as ii in both a time static full sample and recursive subsamples

is there dependence and systemic risk between oil and renewable energy stock prices abstract we study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value at risk as a measure of systemic risk we found significant time varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30 to downside and upside risk of renewable energy companies these results have important implications for risk management and renewable energy policies

asymmetric impacts of oil price uncertainty on chinese stock returns under different market conditions evidence from oil volatility index abstract the crude oil volatility index ovx is a direct and more accurate measure of oil price uncertainty this paper uses this kind of implied volatility index of oil prices to investigate the impacts of oil price uncertainty on the aggregate and sectoral stock returns in china this issue is resolved by using a quantile regression which can provide a more detailed examination under different market conditions meanwhile the asymmetric effects of uncertainty shocks are also examined by using the positive and negative changes of the ovx furthermore we assess whether the reform of march 27 2013 affected the ovx stock nexus since this reform was a major step to relax the control of domestic oil prices in china our results reveal that ovx changes mainly show significantly negative effects on the aggregate and sectoral stock returns in the bearish market in particular these effects depend largely on the positive shocks of the ovx rather than the negative shocks of the ovx moreover the reform of march 27 2013 decreased the impacts of the positive ovx shocks on chinese stock returns

the forecasting accuracy of implied volatility from ecx carbon options abstract this study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery of co 2 emission allowances carbon options traded on the european climate exchange we demonstrate that option implied volatility is highly informative about the variance of returns realized over the remaining life of the options it is also directionally accurate in predicting future volatility changes however we also find that implied volatility of carbon options is biased especially for periods of time which do not coincide with the remaining life of the option this suggests that the market has yet to fully mature