Munich Personal RePEc Archive

Does the price of oil interact with clean energy prices in the stock market?

Managi, Shunsuke and Managi, Shunsuke and Okimoto, Tatsuyoshi (2013): Does the price of oil interact with clean energy prices in the stock market? Published in:

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Abstract

In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices, endogenously controlling for structural changes in the market. To this end, we apply Markov-switching vector autoregressive models to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The results indicate that there was a structural change in late 2007, a period in which there was a significant increase in the price of oil. In contrast to the previous studies, we find a positive relationship between oil prices and clean energy prices after structural breaks. There also appears to be a similarity in terms of the market response to both clean energy stock prices and technology stock prices.

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