Oil prices and Clean Energy Stock Prices Revisited

35 Pages Posted: 28 Oct 2019 Last revised: 5 Mar 2020

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 stock price indices of clean energy and technology companies. In this paper, we replicate the original analysis of Sadorsky (2012), extend the sample period and present new findings. The extended sample analysis shows that the correlation estimates reported in the original paper have not changed since 2010 despite increased efforts to tackle climate change. A re-analysis demonstrates that return and volatility spillovers are economically negligible consistent with efficient markets and economic theory but in stark contrast with the title and focus of the original paper. We further show that a two-asset portfolio analysis yields results with limited practical relevance. Our study highlights the importance of a theoretical grounding of empirical research.

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 Revisited (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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