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Distributional predictability between oil prices and renewable energy stocks: Is there a role for the COVID-19 pandemic?
Energy Economics ( IF 12.8 ) Pub Date : 2021-08-12 , DOI: 10.1016/j.eneco.2021.105512
Shawkat Hammoudeh 1, 2 , Khaled Mokni 3, 4 , Ousama Ben-Salha 3, 5, 6 , Ahdi Noomen Ajmi 7, 8
Affiliation  

This research explores the causal relationships between the returns and volatility of oil prices and five clean energy stock indices based on the nonparametric causality-in-quantiles test between October 13, 2010 and September 08, 2020. The analysis is also conducted before and during the COVID-19 pandemic. The findings indicate that over the full and before the pandemic periods, oil returns cause the renewable stock index returns during normal market conditions, but this is not the case in the extreme market conditions. Moreover, all the five renewable energy sectoral stock returns have no predictive power of oil returns under any market conditions. On the other hand, the volatility analysis suggests a significant bidirectional causality between the oil price volatility and the renewable energy stock volatility only at the lower quantiles during the same periods. During the COVID-19 pandemic period, the findings suggest the absence of significant causal relationships between the oil price (returns and volatility) and the renewable energy stocks. However, the causal relationship during the pre-COVID-19 period is close to that reported for the full period. Policy recommendations are therefore proposed based on these results.



中文翻译:

石油价格和可再生能源库存之间的分布可预测性:COVID-19 大流行有影响吗?

本研究基于 2010 年 10 月 13 日至 2020 年 9 月 8 日期间的非参数分位数因果关系检验,探讨了石油价格的回报和波动与五个清洁能源股票指数之间的因果关系。 2019冠状病毒病大流行。研究结果表明,在整个大流行期间和大流行之前,石油回报导致正常市场条件下可再生股票指数的回报,但在极端市场条件下并非如此。此外,所有五个可再生能源部门股票的回报在任何市场条件下都没有石油回报的预测能力。另一方面,波动性分析表明,石油价格波动与可再生能源股票波动之间仅在同一时期的较低分位数之间存在显着的双向因果关系。在 COVID-19 大流行期间,调查结果表明石油价格(回报和波动性)与可再生能源股票之间没有显着的因果关系。但是,COVID-19 之前时期的因果关系与整个时期报告的因果关系接近。因此,基于这些结果提出了政策建议。COVID-19 之前时期的因果关系与整个时期报告的因果关系接近。因此,基于这些结果提出了政策建议。COVID-19 之前时期的因果关系与整个时期报告的因果关系接近。因此,基于这些结果提出了政策建议。

更新日期:2021-09-12
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