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Distributional predictability between oil prices and renewable energy stocks: Is there a role for the COVID-19 pandemic?
Journal article   Open access   Peer reviewed

Distributional predictability between oil prices and renewable energy stocks: Is there a role for the COVID-19 pandemic?

Shawkat Hammoudeh, Khaled Mokni, Ousama Ben-Salha and Ahdi Noomen Ajmi
Energy economics, v 103, 105512
Nov 2021
DOI: https://doi.org/10.1016/j.eneco.2021.105512
Featured in Collection :   UN Sustainable Development Goals @ Drexel
url
https://doi.org/10.1128/aac.00721-22View
Published, Version of Record (VoR)Open Access (License Unspecified),  Open

Abstract

COVID-19 pandemic Nonparametric causality Oil price Quantiles Renewable energy stocks
This research explores the causal relationships between the returns and volatility of oil prices and five clean energy stock indices based on the nonparametric causality-in-quantiles test between October 13, 2010 and September 08, 2020. The analysis is also conducted before and during the COVID-19 pandemic. The findings indicate that over the full and before the pandemic periods, oil returns cause the renewable stock index returns during normal market conditions, but this is not the case in the extreme market conditions. Moreover, all the five renewable energy sectoral stock returns have no predictive power of oil returns under any market conditions. On the other hand, the volatility analysis suggests a significant bidirectional causality between the oil price volatility and the renewable energy stock volatility only at the lower quantiles during the same periods. During the COVID-19 pandemic period, the findings suggest the absence of significant causal relationships between the oil price (returns and volatility) and the renewable energy stocks. However, the causal relationship during the pre-COVID-19 period is close to that reported for the full period. Policy recommendations are therefore proposed based on these results. •Causality in quantiles between the oil price and five renewable energy stock indices' returns and volatility.•Oil returns cause renewable stock index returns during normal market conditions only.•No causality running from renewable energy stock returns to oil returns across all quantiles.•Significant bidirectional causality between the oil price and the renewable energy stock volatilities under the bearish market condition.•No predictive power of oil prices and renewable energy stocks during the COVID-19 pandemic period.

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68 citations in Web of Science
72 citations in Scopus

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UN Sustainable Development Goals (SDGs)

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#8 Decent Work and Economic Growth

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Collaboration types
Domestic collaboration
International collaboration
Web of Science research areas
Economics
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