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

Shunsuke Managi, Tatsuyoshi Okimoto

Research output: Contribution to journalArticlepeer-review

83 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1-9
Number of pages9
JournalJapan and the World Economy
Volume27
DOIs
Publication statusPublished - 2013 Aug

Keywords

  • Clean energy
  • Markov-switching VAR
  • Oil price
  • Stock prices

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics
  • Political Science and International Relations

Fingerprint Dive into the research topics of 'Does the price of oil interact with clean energy prices in the stock market?'. Together they form a unique fingerprint.

Cite this