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The Relationship Between Oil Prices and Stock Prices of the European Renewable Energy Companies: A Vector Autoregressive Analysis

Author

Listed:
  • Slatina Enis

    (MA Student, University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH)

  • Lazović-Pita Lejla

    (University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH)

  • Abdić Ademir

    (University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH)

  • Abdić Adem

    (University of Sarajevo, School of Economics and Business, Trg oslobodjenja 1, 71000 Sarajevo, BiH)

Abstract

This article aims to examine the potential relationship between Brent crude oil futures prices and the index of the European renewable energy companies. After the overview of the European legislation and the most recent literature review on the topic, the article deploys a method of the Vector Autoregressive Model (VAR). The analysis includes weekly data over eight years (2015-2022). Our results indicate a positive correlation between Brent crude oil futures prices and the value of the European Renewable Energy Total Return (ERIX) index. The estimated bivariate VAR model indicates a statistically significant relationship, meaning that past values of the ERIX Index may be used to predict future Brent crude oil prices in the long run. Considering the most recent systemic disturbance in the world’s commodity market, future research should consider longer time series and possible relationships of other macroeconomic factors.

Suggested Citation

  • Slatina Enis & Lazović-Pita Lejla & Abdić Ademir & Abdić Adem, 2023. "The Relationship Between Oil Prices and Stock Prices of the European Renewable Energy Companies: A Vector Autoregressive Analysis," Naše gospodarstvo/Our economy, Sciendo, vol. 69(4), pages 1-11, December.
    • Handle: RePEc:vrs:ngooec:v:69:y:2023:i:4:p:1-11:n:2
    DOI: 10.2478/ngoe-2023-0019
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    References listed on IDEAS

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    1. Ahmad, Wasim, 2017. "On the dynamic dependence and investment performance of crude oil and clean energy stocks," Research in International Business and Finance, Elsevier, vol. 42(C), pages 376-389.
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    4. Dawar, Ishaan & Dutta, Anupam & Bouri, Elie & Saeed, Tareq, 2021. "Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression," Renewable Energy, Elsevier, vol. 163(C), pages 288-299.
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    Keywords

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    JEL classification:

    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q48 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Government Policy

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