Oil Prices and Clean Energy Stock Prices – A Replication and Extension
32 Pages Posted: 28 Oct 2019
Date Written: October 18, 2019
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: Suggested Citation