Oil Prices and Clean Energy Stock Prices – A Replication and Extension

32 Pages Posted: 28 Oct 2019

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Lee A. Smales

University of Western Australia

Date Written: October 18, 2019

Abstract

Sadorsky (2012) analyzes correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. In this paper, we replicate the original analysis of Sadorsky (2012), extend the sample period and present alternative models and new findings. The extended sample confirms the unconditional correlation estimates reported in the original paper but finds different conditional relationships and economically insignificant return and volatility spillovers consistent with efficient markets and economic theory. Our study highlights the importance of a theoretical framework to analyze correlations and spillovers and the value of simple econometric models over more complex models.

Keywords: renewable energy, oil prices, correlations, spillovers, replication

JEL Classification: G11, G13, Q42

Suggested Citation

Baur, Dirk G. and Smales, Lee A., Oil Prices and Clean Energy Stock Prices – A Replication and Extension (October 18, 2019). Available at SSRN: https://ssrn.com/abstract=3471866 or http://dx.doi.org/10.2139/ssrn.3471866

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Lee A. Smales

University of Western Australia ( email )

UWA Business School
35 Stirling Highway
Perth, Western Australia 6009
Australia

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