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Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method

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  • Chen, Jinyu
  • Wang, Yilin
  • Ren, Xiaohang

Abstract

Combining advanced quantile-on-quantile (QQ) regression and causality-in-quantiles (QC) methods, we examine the asymmetric effects of non-ferrous metal price shocks on clean energy stocks at aggregate and sub-sector levels. From the aggregate perspective, the impact of non-ferrous metal price shocks is strongly negative for bull clean energy stock markets but is positive under bear circumstances. According to QC analysis, non-ferrous metal price shocks can effectively predict returns on clean energy stocks in some quantiles. Sub-sectors of clean energy stocks react differently, proving the heterogeneity of different industries. Synergistic movements between non-ferrous metal price shocks and some clean energy sectors in bear markets are detected, indicating that non-ferrous metals are not safe havens for clean energy stock markets under extreme market conditions. Furthermore, non-ferrous metals have a significantly stronger negative impact on clean energy stocks during the epidemic, demonstrating the structural changes effect of COVID-19.

Suggested Citation

  • Chen, Jinyu & Wang, Yilin & Ren, Xiaohang, 2022. "Asymmetric effects of non-ferrous metal price shocks on clean energy stocks: Evidence from a quantile-on-quantile method," Resources Policy, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002446
    DOI: 10.1016/j.resourpol.2022.102796
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