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The impact of oil price changes on stock returns of new energy industry in China: A firm-level analysis

Author

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  • Zhu, Fan
  • Jin, Faqi
  • Wu, Haiquan
  • Wen, Fenghua

Abstract

This paper aims to investigate the impact of oil price changes on the new energy industry in China from the perspective of firm-level analysis. Specifically, we firstly evaluate the contemporaneous effect of oil price changes on the stocks of the new energy industry and find the heterogeneous performance of new energy firms with respect to oil prices. Moreover, we find a phenomenon that the lagged effect of oil prices on most new energy firms in the short term is stronger than that in the long term. In addition, we demonstrate the strong asymmetric effect of oil prices on most new energy firms. Finally, we find that state-owned firms are more robust to the asymmetric effect of oil prices, whereas domestic privately-owned firms are more robust to negative oil price returns.

Suggested Citation

  • Zhu, Fan & Jin, Faqi & Wu, Haiquan & Wen, Fenghua, 2019. "The impact of oil price changes on stock returns of new energy industry in China: A firm-level analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 532(C).
    • Handle: RePEc:eee:phsmap:v:532:y:2019:i:c:s0378437119311070
    DOI: 10.1016/j.physa.2019.121878
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    Citations

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    Cited by:

    1. Liu, Chao & Xu, Jiahui, 2024. "Risk spillover effects of new global energy listed companies from the time-frequency perspective," Energy, Elsevier, vol. 292(C).
    2. Liu, Tiansen & Song, Yazhi & Xing, Xinpeng & Zhu, Yue & Qu, Zhengyu, 2021. "Bridging production factors allocation and environmental performance of China’s heavy-polluting energy firms: The moderation effect of financing and internationalization," Energy, Elsevier, vol. 222(C).
    3. Zheng, Biao & Zhang, Yuquan W. & Yin, Haitao & Geng, Yong, 2021. "The limited role of stock market in financing new energy development in China: An investigation using firms’ high-frequency data," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 651-667.
    4. Katarzyna Czech & Michał Wielechowski, 2021. "Is the Alternative Energy Sector COVID-19 Resistant? Comparison with the Conventional Energy Sector: Markov-Switching Model Analysis of Stock Market Indices of Energy Companies," Energies, MDPI, vol. 14(4), pages 1-17, February.
    5. Fang, Guochang & Lu, Longxi & Tian, Lixin & he, Yu & Yin, Huibo, 2020. "Research on the influence mechanism of carbon trading on new energy—A case study of ESER system for China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    6. 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).
    7. 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).

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