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

Managi, Shunsuke; Okimoto, Tatsuyoshi

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...[Show more]

dc.contributor.authorManagi, Shunsuke
dc.contributor.authorOkimoto, Tatsuyoshi
dc.date.accessioned2015-12-08T22:10:55Z
dc.identifier.issn0922-1425
dc.identifier.urihttp://hdl.handle.net/1885/29561
dc.description.abstractIn 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.
dc.publisherElsevier
dc.sourceJapan and the World Economy
dc.subjectKeywords: Clean energy; Markov-switching VAR; Oil price; Stock prices
dc.titleDoes the price of oil interact with clean energy prices in the stock market?
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume27
dc.date.issued2013
local.identifier.absfor150201 - Finance
local.identifier.ariespublicationu4430637xPUB66
local.type.statusPublished Version
local.contributor.affiliationManagi, Shunsuke, Graduate School of Environmental Studies, Tohoku University
local.contributor.affiliationOkimoto, Tatsuyoshi, College of Asia and the Pacific, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage1
local.bibliographicCitation.lastpage9
local.identifier.doi10.1016/j.japwor.2013.03.003
local.identifier.absseo900101 - Finance Services
dc.date.updated2016-02-24T11:07:26Z
local.identifier.scopusID2-s2.0-84876724859
CollectionsANU Research Publications

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