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Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes

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  • Uddin, Gazi Salah
  • Rahman, Md Lutfur
  • Hedström, Axel
  • Ahmed, Ali

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.

Suggested Citation

  • Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
    • Handle: RePEc:eee:eneeco:v:80:y:2019:i:c:p:743-759
    DOI: 10.1016/j.eneco.2019.02.014
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    More about this item

    Keywords

    Renewable energy stock price; Oil; Exchange rate; Gold; Cross-quantilogram;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources

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