IDEAS home Printed from https://ideas.repec.org/a/eee/jocoma/v28y2022ics2405851321000714.html
   My bibliography  Save this article

The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks

Author

Listed:
  • Kassouri, Yacouba
  • Altıntaş, Halil

Abstract

The paper examines the degree to which firms' stock returns in the energy and technology sectors depend on oil demand and supply shocks by accounting for quantile dependence in shock transmission and causal linkages. Using monthly time-series data from January 2004 to December 2017, our evidence shows that the substitution between oil and clean commodities occurs only in the long-run when the oil market is subject to demand-driven shocks. Unlike oil demand shocks, we demonstrate that oil supply shocks display a relatively lower predictive power for the clean energy stock returns. We also report that firms in the dirty energy sectors display lower returns mainly due to their exposure to exogenous oil shocks, while firms in clean energy and technology sectors are more resilient to demand shocks as their exhibit positive returns in the long-run. Our findings provide evidence and guidance about investments opportunities in clean assets.

Suggested Citation

  • Kassouri, Yacouba & Altıntaş, Halil, 2022. "The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks," Journal of Commodity Markets, Elsevier, vol. 28(C).
    • Handle: RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851321000714
    DOI: 10.1016/j.jcomm.2021.100238
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S2405851321000714
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jcomm.2021.100238?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Cho, Jin Seo & Kim, Tae-hwan & Shin, Yongcheol, 2015. "Quantile cointegration in the autoregressive distributed-lag modeling framework," Journal of Econometrics, Elsevier, vol. 188(1), pages 281-300.
    2. Benkraiem, Ramzi & Lahiani, Amine & Miloudi, Anthony & Shahbaz, Muhammad, 2018. "New insights into the US stock market reactions to energy price shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 169-187.
    3. Jay Choi, Jongmoo & Hauser, Shmuel & Kopecky, Kenneth J., 1999. "Does the stock market predict real activity? Time series evidence from the G-7 countries," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1771-1792, December.
    4. Kocaarslan, Baris & Soytas, Ugur, 2019. "Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar)," Energy Economics, Elsevier, vol. 84(C).
    5. Bolton, Patrick & Kacperczyk, Marcin, 2021. "Do investors care about carbon risk?," Journal of Financial Economics, Elsevier, vol. 142(2), pages 517-549.
    6. Christiane Baumeister & Dimitris Korobilis & Thomas K. Lee, 2022. "Energy Markets and Global Economic Conditions," The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 828-844, October.
    7. Mauro, Paolo, 2003. "Stock returns and output growth in emerging and advanced economies," Journal of Development Economics, Elsevier, vol. 71(1), pages 129-153, June.
    8. Reboredo, Juan C. & Ugolini, Andrea, 2018. "The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach," Energy Economics, Elsevier, vol. 76(C), pages 136-152.
    9. Managi, Shunsuke & Okimoto, Tatsuyoshi, 2013. "Does the price of oil interact with clean energy prices in the stock market?," Japan and the World Economy, Elsevier, vol. 27(C), pages 1-9.
    10. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
    11. Christiane Baumeister & Lutz Kilian, 2016. "Understanding the Decline in the Price of Oil since June 2014," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 3(1), pages 131-158.
    12. Henriques, Irene & Sadorsky, Perry, 2008. "Oil prices and the stock prices of alternative energy companies," Energy Economics, Elsevier, vol. 30(3), pages 998-1010, May.
    13. Gupta, Kartick, 2016. "Oil price shocks, competition, and oil & gas stock returns — Global evidence," Energy Economics, Elsevier, vol. 57(C), pages 140-153.
    14. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
    15. Atanasov, Victoria, 2018. "World output gap and global stock returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 181-197.
    16. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2021. "Hedging stocks with oil," Energy Economics, Elsevier, vol. 93(C).
    17. Selmi, Refk & Bouoiyour, Jamal & Ayachi, Fethi, 2012. "Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies," MPRA Paper 49144, University Library of Munich, Germany, revised Oct 2012.
    18. Christiane Baumeister & James D. Hamilton, 2019. "Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks," American Economic Review, American Economic Association, vol. 109(5), pages 1873-1910, May.
    19. Huang, Dayong & Li, Jay Y. & Wu, Kai, 2021. "The effect of oil supply shocks on industry returns," Journal of Commodity Markets, Elsevier, vol. 24(C).
    20. Lahiani, Amine & Miloudi, Anthony & Benkraiem, Ramzi & Shahbaz, Muhammad, 2017. "Another look on the relationships between oil prices and energy prices," Energy Policy, Elsevier, vol. 102(C), pages 318-331.
    21. Kollias, Christos & Kyrtsou, Catherine & Papadamou, Stephanos, 2013. "The effects of terrorism and war on the oil price–stock index relationship," Energy Economics, Elsevier, vol. 40(C), pages 743-752.
    22. Kassouri, Yacouba & Altıntaş, Halil, 2020. "Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira," Research in International Business and Finance, Elsevier, vol. 52(C).
    23. Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
    24. Bondia, Ripsy & Ghosh, Sajal & Kanjilal, Kakali, 2016. "International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks," Energy, Elsevier, vol. 101(C), pages 558-565.
    25. Dawar, Ishaan & Dutta, Anupam & Bouri, Elie & Saeed, Tareq, 2021. "Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression," Renewable Energy, Elsevier, vol. 163(C), pages 288-299.
    26. Song, Yingjie & Ji, Qiang & Du, Ya-Juan & Geng, Jiang-Bo, 2019. "The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets," Energy Economics, Elsevier, vol. 84(C).
    27. Reboredo, Juan C. & Ugolini, Andrea, 2018. "The impact of Twitter sentiment on renewable energy stocks," Energy Economics, Elsevier, vol. 76(C), pages 153-169.
    28. Elizabeth Demers & Jurian Hendrikse & Philip Joos & Baruch Lev, 2021. "ESG did not immunize stocks during the COVID‐19 crisis, but investments in intangible assets did," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(3-4), pages 433-462, March.
    29. Ma, Yan-Ran & Zhang, Dayong & Ji, Qiang & Pan, Jiaofeng, 2019. "Spillovers between oil and stock returns in the US energy sector: Does idiosyncratic information matter?," Energy Economics, Elsevier, vol. 81(C), pages 536-544.
    30. Pham, Linh, 2019. "Do all clean energy stocks respond homogeneously to oil price?," Energy Economics, Elsevier, vol. 81(C), pages 355-379.
    31. Kassouri, Yacouba & Kacou, Kacou Yves Thierry & Alola, Andrew Adewale, 2021. "Are oil-clean energy and high technology stock prices in the same straits? Bubbles speculation and time-varying perspectives," Energy, Elsevier, vol. 232(C).
    32. Harvey David I & Leybourne Stephen J & Xiao Bin, 2008. "A Powerful Test for Linearity When the Order of Integration is Unknown," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-24, September.
    33. Yao, Can-Zhong & Li, Hong-Yu, 2020. "Time-varying lead–lag structure between investor sentiment and stock market," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    34. He, Xiaojuan & Mishra, Shekhar & Aman, Ameenullah & Shahbaz, Muhammad & Razzaq, Asif & Sharif, Arshian, 2021. "The linkage between clean energy stocks and the fluctuations in oil price and financial stress in the US and Europe? Evidence from QARDL approach," Resources Policy, Elsevier, vol. 72(C).
    35. Adekunle, Wasiu & Bagudo, Abubakar M. & Odumosu, Monsuru & Inuolaji, Suraj B., 2020. "Predicting stock returns using crude oil prices: A firm level analysis of Nigeria's oil and gas sector," Resources Policy, Elsevier, vol. 68(C).
    36. Sadorsky, Perry, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, Elsevier, vol. 12(2), pages 191-205.
    37. Dutta, Anupam & Bouri, Elie & Noor, Md Hasib, 2021. "Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak," Resources Policy, Elsevier, vol. 74(C).
    38. Enders, Walter & Lee, Junsoo, 2012. "The flexible Fourier form and Dickey–Fuller type unit root tests," Economics Letters, Elsevier, vol. 117(1), pages 196-199.
    39. Salisu, Afees A. & Isah, Kazeem O., 2017. "Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach," Economic Modelling, Elsevier, vol. 66(C), pages 258-271.
    40. Zaighum, Isma & Aman, Ameenullah & Sharif, Arshian & Suleman, Muhammad Tahir, 2021. "Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach," Resources Policy, Elsevier, vol. 72(C).
    41. Victor Troster, 2018. "Testing for Granger-causality in quantiles," Econometric Reviews, Taylor & Francis Journals, vol. 37(8), pages 850-866, September.
    42. Perry Sadorsky, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, John Wiley & Sons, vol. 12(2), pages 191-205.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tan, Xueping & Geng, Yong & Vivian, Andrew & Wang, Xinyu, 2021. "Measuring risk spillovers between oil and clean energy stocks: Evidence from a systematic framework," Resources Policy, Elsevier, vol. 74(C).
    2. Ahmed, Walid M.A. & Sleem, Mohamed A.E., 2023. "Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach," Energy Economics, Elsevier, vol. 124(C).
    3. Bouoiyour, Jamal & Gauthier, Marie & Bouri, Elie, 2023. "Which is leading: Renewable or brown energy assets?," Energy Economics, Elsevier, vol. 117(C).
    4. Li, Di & Wu, Zhige & Tang, Yixuan, 2024. "Do climate risks affect dirty–clean energy stock price dynamic correlations?," Energy Economics, Elsevier, vol. 136(C).
    5. Liu, Yongtuan & Wang, Kewei, 2024. "Asymmetric impacts of coal prices, fintech, and financial stress on clean energy stocks," Resources Policy, Elsevier, vol. 92(C).
    6. Chen, Zhuoyi & Liu, Yuanyuan & Zhang, Hongwei, 2024. "Can geopolitical risks impact the long-run correlation between crude oil and clean energy markets? Evidence from a regime-switching analysis," Renewable Energy, Elsevier, vol. 229(C).
    7. Zeyi Fu & Hongli Niu & Weiqing Wang, 2023. "Market Efficiency and Cross-Correlations of Chinese New Energy Market with Other Assets: Evidence from Multifractality Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1287-1311, October.
    8. Fu, Zheng & Chen, Zhiguo & Sharif, Arshian & Razi, Ummara, 2022. "The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach," Resources Policy, Elsevier, vol. 78(C).
    9. Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).
    10. Rehman, Mobeen Ur & Raheem, Ibrahim D. & Zeitun, Rami & Vo, Xuan Vinh & Ahmad, Nasir, 2023. "Do oil shocks affect the green bond market?," Energy Economics, Elsevier, vol. 117(C).
    11. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The impact of extreme structural oil-price shocks on clean energy and oil stocks," Energy, Elsevier, vol. 225(C).
    12. He, Xiaojuan & Mishra, Shekhar & Aman, Ameenullah & Shahbaz, Muhammad & Razzaq, Asif & Sharif, Arshian, 2021. "The linkage between clean energy stocks and the fluctuations in oil price and financial stress in the US and Europe? Evidence from QARDL approach," Resources Policy, Elsevier, vol. 72(C).
    13. Kassouri, Yacouba & Kacou, Kacou Yves Thierry & Alola, Andrew Adewale, 2021. "Are oil-clean energy and high technology stock prices in the same straits? Bubbles speculation and time-varying perspectives," Energy, Elsevier, vol. 232(C).
    14. Urom, Christian & Mzoughi, Hela & Ndubuisi, Gideon & Guesmi, Khaled, 2022. "Directional predictability and time-frequency spillovers among clean energy sectors and oil price uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 326-341.
    15. Si Mohammed, K. & Mellit, A., 2023. "The relationship between oil prices and the indices of renewable energy and technology companies based on QQR and GCQ techniques," Renewable Energy, Elsevier, vol. 209(C), pages 97-105.
    16. Geng, Jiang-Bo & Liu, Changyu & Ji, Qiang & Zhang, Dayong, 2021. "Do oil price changes really matter for clean energy returns?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 150(C).
    17. Farid, Saqib & Karim, Sitara & Naeem, Muhammad A. & Nepal, Rabindra & Jamasb, Tooraj, 2023. "Co-movement between dirty and clean energy: A time-frequency perspective," Energy Economics, Elsevier, vol. 119(C).
    18. Matteo Foglia & Eliana Angelini, 2020. "Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era," Sustainability, MDPI, vol. 12(23), pages 1-22, November.
    19. Dutta, Anupam & Park, Donghyun & Uddin, Gazi Salah & Kanjilal, Kakali & Ghosh, Sajal, 2024. "Do dirty and clean energy investments react to infectious disease-induced uncertainty?," Technological Forecasting and Social Change, Elsevier, vol. 205(C).
    20. Sirin, Selahattin Murat & Yilmaz, Berna N., 2024. "Energy transition and non-energy firms’ financial performance: Do markets value capability-based energy transition strategies?," Energy Economics, Elsevier, vol. 136(C).

    More about this item

    Keywords

    Oil price shocks; Energy stock returns; Technology stock returns;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • Q55 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environmental Economics: Technological Innovation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851321000714. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jcomm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.