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Oil Prices and Stock Prices of Clean Energy: New Evidence from Chinese Subsectoral Data

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  • Xin Lv
  • Xinyang Dong
  • Weijia Dong

Abstract

This paper adopts an asymmetric BEKK-GARCH-M model to examine the heterogeneous and nonlinear relationship between oil and stock prices in the Chinese clean energy subsector. Three interesting findings are obtained. First, we find that the impact of oil prices on stock returns is stronger in the new energy vehicle sector than in other clean energy subsectors. This result could be explained by the direct substitution effect of fossil energy on new energy vehicles, which is larger than the indirect effect on other kind of renewable energy or nuclear power. Second, we prove that the relationship between oil and stock prices strengthened before the 2014 foil price decline, and the relationship became insignificant after the decline. Third, we detect significant bidirectional risk spillover effects between oil and several clean energy subsectors in the full sample.

Suggested Citation

  • Xin Lv & Xinyang Dong & Weijia Dong, 2021. "Oil Prices and Stock Prices of Clean Energy: New Evidence from Chinese Subsectoral Data," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(4), pages 1088-1102, March.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:4:p:1088-1102
    DOI: 10.1080/1540496X.2019.1689810
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    Cited by:

    1. Dutta, Anupam & Dutta, Probal, 2022. "Geopolitical risk and renewable energy asset prices: Implications for sustainable development," Renewable Energy, Elsevier, vol. 196(C), pages 518-525.
    2. Ekananda, Mahjus, 2022. "Role of macroeconomic determinants on the natural resource commodity prices: Indonesia futures volatility," Resources Policy, Elsevier, vol. 78(C).
    3. Su, Chi Wei & Shao, Xuefeng & Jia, Zhijie & Nepal, Rabindra & Umar, Muhammad & Qin, Meng, 2023. "The rise of green energy metal: Could lithium threaten the status of oil?," Energy Economics, Elsevier, vol. 121(C).
    4. Wang, Brian Yutao & Li, Shuo & Liu, Guangqiang & Yang, Zhiqing, 2021. "Running out of energy: The Price effect of energy deficiency," Energy Economics, Elsevier, vol. 100(C).
    5. Pham, Linh & Hao, Wei & Truong, Ha & Trinh, Hai Hong, 2023. "The impact of climate policy on U.S. environmentally friendly firms: A firm-level examination of stock return, volatility, volume, and connectedness," Energy Economics, Elsevier, vol. 119(C).
    6. Tan, Xueping & Geng, Yong & Vivian, Andrew & Wang, Xinyu, 2021. "Measuring risk spillovers between oil and clean energy stocks: Evidence from a systematic framework," Resources Policy, Elsevier, vol. 74(C).
    7. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).
    8. Han Yan & Md. Qamruzzaman & Sylvia Kor, 2023. "Nexus between Green Investment, Fiscal Policy, Environmental Tax, Energy Price, Natural Resources, and Clean Energy—A Step towards Sustainable Development by Fostering Clean Energy Inclusion," Sustainability, MDPI, vol. 15(18), pages 1-25, September.

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