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Dynamic dependence nexus and causality of the renewable energy stock markets on the fossil energy markets

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  • Jiang, Yonghong
  • Wang, Jieru
  • Lie, Jiayi
  • Mo, Bin

Abstract

This study examines the impact of the renewable energy stock markets on the fossil energy markets (oil, coal and gas) with the quantile-on-quantile (QQ) and causality-in-quantiles (QC) approaches. The main empirical results from the QQ approach present the general positive dependence with varying degrees concerning different types of fossil energy and across various quantiles. Their dependence is relatively strong when the oil and coal markets are bullish and bearish, but appears to be weak or insignificant in the gas market. According to the nonparametric QC approach, the causality in variance is generally more evident than the causality in mean. Similarly, the causality varies across quantiles in the cases of different fossil energy. There is evidence of first and second order causality from the renewable energy stock markets to oil and coal markets in some of their quantiles, but the result is insignificant for the gas market.

Suggested Citation

  • Jiang, Yonghong & Wang, Jieru & Lie, Jiayi & Mo, Bin, 2021. "Dynamic dependence nexus and causality of the renewable energy stock markets on the fossil energy markets," Energy, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:energy:v:233:y:2021:i:c:s0360544221014390
    DOI: 10.1016/j.energy.2021.121191
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